Normality testing for a long-memory sequence using the empirical moment generating function

DOI10.1016/j.jspi.2012.10.016zbMath1428.62175MaRDI QIDQ1937205

Sucharita Ghosh

Publication date: 28 February 2013

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.10.016

zbMATH Keywords

Hermite polynomials; goodness-of-fit tests; long-range dependence; Gaussian subordination; normality testing; empirical moment generating function

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62H15: Hypothesis testing in multivariate analysis

60G10: Stationary stochastic processes

Related Items

Tests for time series of counts based on the probability-generating function, Fourier–type tests involving martingale difference processes, The probability weighted characteristic function and goodness-of-fit testing, On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications, A random-projection based test of Gaussianity for stationary processes, On a test of normality based on the empirical moment generating function, Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models, New results on the Ristić–Balakrishnan family of distributions, The credibility premiums based on estimated moment-generating function

Uses Software

• longmemo

Cites Work

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