An Empirical Likelihood Goodness-of-Fit Test for Time Series

DOI10.1111/1467-9868.00408zbMath1063.62064MaRDI QIDQ4672184

Song Xi Chen, Wolfgang Karl Härdle, Ming Li

Publication date: 29 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4094

zbMATH Keywords

kernel estimators; Nadaraya-Watson estimator; parametric models; \(\alpha\)-mixing; weak dependence; power of test; square-root processes

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

62G30: Order statistics; empirical distribution functions

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