Specification test for Markov models with measurement errors

DOI10.1016/J.JMVA.2014.05.008MaRDI QIDQ2252889zbMATH OpenOpenAlexWikidataFDO

Authors Zhibiao Zhao, Seon Jin Kim

Publication date 24 July 2014

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2014.05.008

zbMATH Keywords

nonparametric estimationtime seriesmeasurement errorsMarkov modelspecification testingsimultaneous confidence band

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10)

Recommendations

• Specification testing in Markov-switching time-series models
• Nonparametric tests of the Markov hypothesis in continuous-time models
• Hypothesis testing in linear models with Markov type errors
• Diagnostic checking of Markov multiplicative error models
• Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression

Cites work

• scientific article; zbMATH DE number 52749 (Why is no real title available?)
• scientific article; zbMATH DE number 472958 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A Tale of Two Time Scales
• A consistent nonparametric test for serial independence
• ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
• Comparing nonparametric versus parametric regression fits
• Confidence Bands for Regression Functions
• Confidence Bands in Nonparametric Regression
• Confidence bands in nonparametric time series regression
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Consistent Specification Testing Via Nonparametric Series Regression
• Generalized likelihood ratio statistics and Wilks phenomenon
• Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
• Measurement Error in Nonlinear Models
• Microstructure noise in the continuous case: the pre-averaging approach
• Nonlinear system theory: Another look at dependence
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric econometrics. Theory and practice.
• Nonparametric model validations for hidden Markov models with applications in financial econometrics
• Nonparametric transition-based tests for jump diffusions
• On some global measures of the deviations of density function estimates
• On tail probabilities for martingales
• On the optimal rates of convergence for nonparametric deconvolution problems
• Parametric and nonparametric models and methods in financial econometrics
• Simultaneous confidence bands and hypothesis testing in varying-coefficient models
• Volatility inference in the presence of both endogenous time and microstructure noise

Cited in

(2)

• Accuracy of parameter measurement in Markov systems
• Markers for error-corrupted observations

This page was built for publication: Specification test for Markov models with measurement errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2252889)