A Non‐parametric Test for Generalized First‐order Autoregressive Models

DOI10.1111/1467-9469.00061zbMath0885.62055OpenAlexW2144769787MaRDI QIDQ4352096

Joseph Ngatchou-Wandji, Jean Diebolt

Publication date: 29 April 1998

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

Full work available at URL: https://doi.org/10.1111/1467-9469.00061

zbMATH Keywords

weak invariance principlenonlinear modelsmixinggoodness-of-fit testsautoregressive modelsfunctional limiting distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Local power of a Cramér-von Mises type test for parametric autoregressive models of order one ⋮ On time-irreversibility and other non-linear features in time series ⋮ A nonparametric goodness-of-fit test for a class of parametric autoregressive models

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