Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing
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Publication:734559
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Cites work
- scientific article; zbMATH DE number 3120956 (Why is no real title available?)
- scientific article; zbMATH DE number 3638844 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
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- Goodness of fit problem and scanning innovation martingales
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Cited in
(16)- Goodness-of-fit testing in regression: a finite sample comparison of bootstrap methodology and Khmaladze transformation
- Estimating the conditional error distribution in non-parametric regression
- Goodness-of-fit testing for copulas: a distribution-free approach
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Scale checks in censored regression
- Conditional variance model checking
- Empirical smoothing lack-of-fit tests for variance function
- 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
- Goodness-of-fit testing the error distribution in multivariate indirect regression
- Minimum distance conditional variance function checking in heteroscedastic regression models
- A model specification test for the variance function in nonparametric regression
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Implementation of a goodness-of-fit test through Khmaladze martingale transformation
- An omnibus test of goodness-of-fit for conditional distributions with applications to regression models
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