A divergence test for autoregressive time series models

DOI10.1016/J.STAMET.2011.04.006zbMATH Open1219.62138OpenAlexW2079265725MaRDI QIDQ634835FDOQ634835

Sangyeol Lee, A. Karagrigoriou

Publication date: 17 August 2011

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2011.04.006

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zbMATH Keywords

divergence measureautoregressive modelsresidual empirical processunstable process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cited In (4)

• A test of homogeneity for autoregressive processes
• Goodness of fit test for discrete random variables
• An omnibus test for the time series model AR(1).
• Information quantity evaluation of multivariate SETAR processes of order one and applications

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