Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing

DOI10.3103/S106653070902001XzbMath1231.62064OpenAlexW2027247389MaRDI QIDQ734559

Dette, Holger, 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

zbMATH Keywords

nonparametric regressionconditional variancemartingale transforms

Mathematics Subject Classification ID

Related Items (12)

Estimating the Conditional Error Distribution in Non-parametric Regression ⋮ Scale Checks in Censored Regression ⋮ Empirical smoothing lack-of-fit tests for variance function ⋮ Minimum distance conditional variance function checking in heteroscedastic regression models ⋮ Goodness-of-fit testing for copulas: a distribution-free approach ⋮ An omnibus test of goodness-of-fit for conditional distributions with applications to regression models ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ 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 ⋮ 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

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