The marked empirical process to test nonlinear time series against a large class of alternatives when the random vectors are nonstationary and absolutely regular

DOI10.1080/02331888.2010.507406zbMATH Open1314.62204OpenAlexW2004142664MaRDI QIDQ2892897FDOQ2892897

Authors: Michel Harel, Echarif Elharfaoui 

Publication date: 25 June 2012

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2010.507406

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zbMATH Keywords

residualsnonstationaritymarked empirical processSkorohod topologymodel check for regressiongeneral AR modelgeneral AR-ARCH modelgeometrical absolute regularity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

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Cited In (3)

• Testing nonstationary and absolutely regular nonlinear time series models
• A nonparametric model check for time series when the random vectors are nonstationary and absolutely regular
• 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

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