The marked empirical process to test a general AR-ARCH against an other general AR-ARCH when the random vectors are nonstationary and absolutely regular

DOI10.1016/J.CRMA.2008.02.018zbMATH Open1134.62061OpenAlexW2081762943MaRDI QIDQ2427232FDOQ2427232

Authors: Michel Harel, Echarif Elharfaoui 

Publication date: 8 May 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2008.02.018

Recommendations

• The marked empirical process to test nonlinear time series against a large class of alternatives when the random vectors are nonstationary and absolutely regular
• A nonparametric model check for time series when the random vectors are nonstationary and absolutely regular
• Testing nonstationary and absolutely regular nonlinear time series models
• Nonparametric model checks for time series
• A nonparametric goodness-of-fit test for a class of parametric autoregressive models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

Cites Work

• Nonparametric model checks for regression
• Checking nonlinear heteroscedastic time series models
• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
• Weak convergence of some marked empirical processes: Application to testing heteroscedasticity

Cited In (4)

• Goodness-of-fit test for a nonlinear time series
• The marked empirical process to test nonlinear time series against a large class of alternatives when the random vectors are nonstationary and absolutely regular
• Marked empirical processes for non-stationary time series
• A nonparametric model check for time series when the random vectors are nonstationary and absolutely regular

This page was built for publication: The marked empirical process to test a general AR-ARCH against an other general AR-ARCH when the random vectors are nonstationary and absolutely regular

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2427232)