Tests of the martingale difference hypothesis using boosting and RBF neural network approximations

DOI10.1017/S0266466609990612zbMATH Open1290.62061OpenAlexW2132224021MaRDI QIDQ4933583FDOQ4933583

Authors: Andrew P. Blake, George Kapetanios 

Publication date: 14 October 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990612

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Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Neural nets and related approaches to inference from stochastic processes (62M45)

Cites Work

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• A DATA-DRIVEN NONPARAMETRIC SPECIFICATION TEST FOR DYNAMIC REGRESSION MODELS

Cited In (3)

• Fourier–type tests involving martingale difference processes
• A neural network method for nonlinear time series analysis
• Forecasting the acquisition of university spin-outs: an RBF neural network approach

Uses Software

• longmemo

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