A model-adaptive test for parametric single-index time series models

DOI10.1111/JTSA.12249zbMATH Open1416.62533OpenAlexW2753021191MaRDI QIDQ4596434FDOQ4596434

Authors: Qiang Xia, Kejun He, Cuizhen Niu 

Publication date: 1 December 2017

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

Full work available at URL: https://doi.org/10.1111/jtsa.12249

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zbMATH Keywords

dimension reductionglobally smoothingresidual-marked empirical process

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Model checking for parametric single-index models: a dimension reduction model-adaptive approach
• A robust adaptive-to-model enhancement test for parametric single-index models
• Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes
• Model checking for parametric single-index quantile autoregression

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