A weak invariance principle for cumulated functionals of the regressogram estimator with dependent data

DOI10.1080/10485259408832607zbMath1380.62129OpenAlexW2083629581WikidataQ126250542 ScholiaQ126250542MaRDI QIDQ3432402

Jean Diebolt, Naâmane Laïb

Publication date: 16 April 2007

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485259408832607

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Functional limit theorems; invariance principles (60F17)

Related Items (4)

A locally asymptotically powerful test for nonlinear autoregressive models ⋮ A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations ⋮ Nonparametric testing for correlation models with dependent data ⋮ Local power of a Cramér-von Mises type test for parametric autoregressive models of order one

Cites Work

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• Testing the functions defining a nonlinear autoregressive time series
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• Invariance principles for sums of Banach space valued random elements and empirical processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Limit theorems for sums of weakly dependent Banach space valued random variables
• The Existence of Probability Measures with Given Marginals

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