Nonparametric testing for correlation models with dependent data
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Publication:4949155
DOI10.1080/10485259908832798zbMath0960.62045MaRDI QIDQ4949155
Publication date: 17 May 2001
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485259908832798
invariance principle; mixing; simulations; regression function; contiguous alternatives; correlation models; autoregression models
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
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A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations, A locally asymptotically powerful test for nonlinear autoregressive models
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