Limiting distribution of weighted processes of residuals. Application to parametric nonlinear autoregressive models

DOI10.1016/S0764-4442(97)88903-3zbMath0890.62066WikidataQ127342819 ScholiaQ127342819MaRDI QIDQ4367682

Joseph Ngatchou-Wandji, Jean Diebolt, Naâmane Laïb

Publication date: 2 December 1997

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

zbMATH Keywords

functional limit theoremstesting goodness-of-fitnonlinear parametric autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

Related Items (8)

ON TESTING THE GOODNESS-OF-FIT OF NONLINEAR HETEROSCEDASTIC REGRESSION MODELS ⋮ Goodness-of-fit tests for nonlinear heteroscedastic regression models ⋮ Asymptotic results for hybrids of empirical and partial sums processes ⋮ A locally asymptotically powerful test for nonlinear autoregressive models ⋮ On the hybrids of \(k\)-spacing empirical and partial sum processes ⋮ A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties ⋮ A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations ⋮ Local power of a Cramér-von Mises type test for parametric autoregressive models of order one

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