Specification test for Markov models with measurement errors

DOI10.1016/J.JMVA.2014.05.008zbMATH Open1292.62067OpenAlexW2079524935WikidataQ42548793 ScholiaQ42548793MaRDI QIDQ2252889FDOQ2252889

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

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

zbMATH Keywords

nonparametric estimationtime seriesmeasurement errorsMarkov modelspecification testingsimultaneous confidence band

Mathematics Subject Classification ID

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

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Cited In (2)

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

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