Monitoring changes in the error distribution of autoregressive models based on Fourier methods
From MaRDI portal
Publication:1946878
DOI10.1007/s11749-011-0265-zzbMath1284.62557MaRDI QIDQ1946878
Simos G. Meintanis, Claudia Kirch, Zdeněk Hlávka, Marie Hušková
Publication date: 10 April 2013
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-011-0265-z
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62M05: Markov processes: estimation; hidden Markov models
62L10: Sequential statistical analysis
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