Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models

DOI10.1002/cjs.11292zbMath1352.62135MaRDI QIDQ5507358

Pierre Lafaye de Micheaux, Pierre Duchesne, Joseph Tagne Tatsinkou

Publication date: 19 December 2016

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11292

zbMATH Keywords

orthonormal functions; goodness-of-fit test; smooth test; data-driven approach

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

62F03: Parametric hypothesis testing