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

DOI10.1080/10485259408832607MaRDI QIDQ3432402zbMATH OpenOpenAlexWikidataFDO

Authors J. Diebolt, N. 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

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

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Cites work

• A lim inf result in Strassen's law of the iterated logarithm
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Invariance principles for sums of Banach space valued random elements and empirical processes
• Limit theorems for sums of weakly dependent Banach space valued random variables
• Mixing: Properties and examples
• Testing the functions defining a nonlinear autoregressive time series
• The Existence of Probability Measures with Given Marginals

Cited in

(5)

• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
• scientific article; zbMATH DE number 29176 (Why is no real title available?)
• Nonparametric testing for correlation models with dependent data
• A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations
• A locally asymptotically powerful test for nonlinear autoregressive models

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