Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing
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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?)
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- A consistent test for heteroscedasticity in nonparametric regression based on the kernel method
- A simple test for the parametric form of the variance function in nonparametric regression
- Asymptotically optimal difference-based estimation of variance in nonparametric regression
- Convergence of stochastic processes
- Designs for Regression Problems with Correlated Errors III
- Diagnostics for heteroscedasticity in regression
- Estimating the Variance In Nonparametric Regression—What is a Reasonable Choice?
- Goodness of fit problem and scanning innovation martingales
- Heteroscedasticity checks for regression models
- Martingale Approach in the Theory of Goodness-of-Fit Tests
- Martingale transforms goodness-of-fit tests in regression models.
- Model checks for regression: an innovation process approach
- Model diagnostics via martingale transforms: a brief review
- Residual variance and residual pattern in nonlinear regression
- Some notes on goodness-of-fit tests and innovation martingales
- Testing Heteroscedasticity In Nonparametric Regression
- Testing homoscedasticity in nonparametric regression
- Testing the parametric structure of the variance function in non-parametric regression.
- Using residuals robustly I: Tests for heteroscedasticity, nonlinearity
- Weak and strong uniform consistency of kernel regression estimates
- Weighted empirical processes in dynamic nonlinear models.
Cited in
(16)- Goodness-of-fit testing the error distribution in multivariate indirect regression
- Conditional variance model checking
- Empirical smoothing lack-of-fit tests for variance function
- Goodness-of-fit testing for copulas: a distribution-free approach
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Estimating the conditional error distribution in non-parametric regression
- Scale checks in censored regression
- Goodness-of-fit testing in regression: a finite sample comparison of bootstrap methodology and Khmaladze transformation
- 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
- A model specification test for the variance function in nonparametric regression
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