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

DOI10.1017/S0266466609990612MaRDI QIDQ4933583zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• A Consistent Conditional Moment Test of Functional Form
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• Generalized spectral tests for the martingale difference hypothesis
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• scientific article; zbMATH DE number 847242 (Why is no real title available?)
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• Testing the Martingale Difference Hypothesis
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• The Bierens test under data dependence
• Weak greedy algorithms

Cited in

(3)

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

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