Goodness-of-fit tests for long memory moving average marginal density

DOI10.1007/s00184-012-0383-yzbMath1256.62051MaRDI QIDQ1938500

Hira L. Koul, Nao Mimoto, Donatas Surgailis

Publication date: 21 February 2013

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-012-0383-y

zbMATH Keywords

kernel density estimator; residual empirical process; chi square distribution

Mathematics Subject Classification ID

62G07: Density estimation

62G10: Nonparametric hypothesis testing

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

62E20: Asymptotic distribution theory in statistics

62G05: Nonparametric estimation

Related Items

Tests for time series of counts based on the probability-generating function, Smooth Estimation of Error Distribution in Nonparametric Regression Under Long Memory, On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications, Comparing the marginal densities of two strictly stationary linear processes, A goodness-of-fit test for marginal distribution of linear random fields with long memory, Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models

Uses Software

• longmemo

Cites Work

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