Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models
From MaRDI portal
Publication:5507358
DOI10.1002/cjs.11292zbMath1352.62135OpenAlexW2466652631MaRDI 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
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
Related Items (4)
Goodness-of-fit tests for Laplace, Gaussian and exponential power distributions based on λ-th power skewness and kurtosis ⋮ Tests of Normality of Functional Data ⋮ Unnamed Item ⋮ On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models
Cites Work
- Computing the distribution of quadratic forms: further comparisons between the Liu-Tang-Zhang approximation and exact methods
- Estimating the dimension of a model
- Do components of smooth tests of fit have diagnostic properties?
- Data driven smooth tests for composite hypotheses
- Asymptotically optimal estimation of MA and ARMA parameters of non-Gaussian processes from high-order moments
- Smooth Tests of Goodness of Fit: An Overview
- On netman-type smooth tests of fit
- A Smooth Test of Goodness-of-Fit for Growth Curves and Monotonic Nonlinear Regression Models
- Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
- Testing normality in autoregressive models
- ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
- Bispectral-Based Tests for the Detection of Gaussianity and Linearity in Time Series
- Concerning a Certain Probability Problem
- On the Bias in Estimates of Forecast Mean Squared Error
- Time-reversibility of linear stochastic processes
- Data-Driven Version of Neyman's Smooth Test of Fit
- Data driven smooth tests for composite hypotheses comparison of powers
- Data-Driven Smooth Tests When the Hypothesis Is Composite
- Confidence intervals for impulse responses under departures from normality
- Goodness‐of‐fit tests of normality for the innovations in ARMA models
- PROPERLY RESCALED COMPONENTS OF SMOOTH TESTS OF FIT ARE DIAGNOSTIC
- Multivariate hypothesis testing using generalized and {2}-inverses – with applications
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
- High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
- Stochastic Comparison of Tests
- Martingale Central Limit Theorems
- Residual Correlations and Diagnostic Checking in Dynamic-Disturbance Time Series Models
- Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, I. Effect of Inequality of Variance in the One-Way Classification
- Diagnostic smooth tests of fit.
This page was built for publication: Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models