Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing
DOI10.3103/S106653070902001XzbMATH Open1231.62064OpenAlexW2027247389MaRDI QIDQ734559FDOQ734559
Holger Dette, Benjamin Hetzler
Publication date: 13 October 2009
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3103/s106653070902001x
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes (62M99)
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Cited In (14)
- Goodness-of-fit testing the error distribution in multivariate indirect regression
- Goodness-of-fit testing for copulas: a distribution-free approach
- Empirical smoothing lack-of-fit tests for variance function
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Estimating the conditional error distribution in non-parametric regression
- Scale checks in censored regression
- An omnibus test of goodness-of-fit for conditional distributions with applications to regression models
- Implementation of a goodness-of-fit test through Khmaladze martingale transformation
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Minimum distance conditional variance function checking in heteroscedastic regression models
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- A Khmaladze-transformed test of fit with ML estimation in the presence of recurrent events
- LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
- A model specification test for the variance function in nonparametric regression
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