Estimation of the Distribution of Noise in an Autoregression Scheme

Cited in

(47)

A goodness-of-fit test of the errors in nonlinear autoregressive time series models
Adaptive R-estimation in a linear regression model with ARMA errors
On the asymptotic power of tests of fit under local alternatives in autoregression
On the Bickel-Rosenblatt test for first-order autoregressive models
Emprical distribution for linear system identification
Martingale transforms goodness-of-fit tests in regression models.
Consistency of error density and distribution function estimators in nonparametric regression.
An overview of bootstrap methods for estimating and predicting in time series
An alternative derivation of aligned rank tests for regression
On the empirical distribution function of residuals in autoregression with outliers and Pearson's chi-square type tests
Asymptotic distributions of error density and distribution function estimators in nonparametric regression
Some developments in semiparametric statistics
On testing the symmetry of innovation distribution in autoregression schemes
The Bickel--Rosenblatt test for diffusion processes
A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
A note on the residual empirical process in autoregressive models
Global property of error density estimation in nonlinear autoregressive time series models
Extended Glivenko–Cantelli theorem and L₁ strong consistency of innovation density estimator for time-varying semiparametric ARCH model
High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
On residual empirical processes of stochastic regression models with applications to time series
On the quantile process based on the autoregressive residuals.
A quantile-based test for symmetry of weakly dependent processes
Smooth Residual Bootstrap for Empirical Processes of Non‐parametric Regression Residuals
A weak convergence result useful in robust autoregression
Estimating invariant laws of linear processes by U-statistics.
Nonparametric estimation in heteroskedastic regression
Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
Aligned rank tests for the linear model with heteroscedastic errors
Estimating linear functionals of the error distribution in nonparametric regression
Weak and strong uniform consistency of a kernel error density estimator in nonparametric regression
Nonparametric prediction intervals for explosive ar(1)-processes
Weak convergence of the sequential empirical processes of residuals in TAR models
On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
Sequential empirical process in autoregressive models with measurement errors
An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process
Estimation of the distribution function of noise in stationary processes
TIME SERIES RESIDUALS WITH APPLICATION TO PROBABILITY DENSITY ESTIMATION
Testing stochastic dominance with many conditioning variables
Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
Fitting an error distribution in some heteroscedastic time series models
Estimating the innovation distribution in nonparametric autoregression
The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process
Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models
Robust unit root tests with autoregressive errors
Statistical estimation errors of VaR under ARCH returns
Goodness-of-fit test using residuals in infinite-order autoregressive models
Law of the iterated logarithm for error density estimators in nonlinear autoregressive models

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