A goodness-of-fit test of the errors in nonlinear autoregressive time series models
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Publication:2475421
DOI10.1016/j.spl.2007.05.003zbMath1130.62041OpenAlexW2045039450MaRDI QIDQ2475421
Publication date: 11 March 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.05.003
Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)
Related Items (11)
Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density ⋮ Law of the iterated logarithm for error density estimators in nonlinear autoregressive models ⋮ Estimating the error distribution in semiparametric transformation models ⋮ Asymptotic normality of residual density estimator in stationary and explosive autoregressive models ⋮ Revisiting the estimation of the error density in functional autoregressive models ⋮ Strong consistency of the distribution estimator in the nonlinear autoregressive time series ⋮ Variance estimation in nonlinear autoregressive time series models ⋮ An analog of Bickel-Rosenblatt test for fitting an error density in the two phase linear regression model ⋮ Global property of error density estimation in nonlinear autoregressive time series models ⋮ Estimation of the error density in a semiparametric transformation model ⋮ Bayesian bandwidth estimation and semi-metric selection for a functional partial linear model with unknown error density
Cites Work
- On conditional least squares estimation for stochastic processes
- Weighted empirical processes in dynamic nonlinear models.
- On the Bickel-Rosenblatt test for first-order autoregressive models
- On some global measures of the deviations of density function estimates
- A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
- Estimation of the Distribution of Noise in an Autoregression Scheme
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