Goodness-of-fit test for a nonlinear time series

DOI10.1111/J.1467-9892.2009.00633.XzbMath1224.62010OpenAlexW2155762824MaRDI QIDQ3077669

Yoichi Nishiyama

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00633.x

zbMATH Keywords

empirical processesinvariance principleinnovation martingales

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (1)

Weak convergence of marked empirical processes in a Hilbert space and its applications

Cites Work

• Unnamed Item
• Unnamed Item
• Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
• A central limit theorem under metric entropy with \(L_ 2\) bracketing
• Asymptotic theory of statistical inference for time series
• Weighted empirical processes in dynamic nonlinear models.
• Nonparametric model checks for time series
• Weak convergence of some classes of martingales with jumps.
• Martingale transforms goodness-of-fit tests in regression models.
• Weak convergence and empirical processes. With applications to statistics

This page was built for publication: Goodness-of-fit test for a nonlinear time series