Revisiting the estimation of the error density in functional autoregressive models

DOI10.1016/J.JKSS.2015.04.005zbMATH Open1327.62242OpenAlexW216199452MaRDI QIDQ892893FDOQ892893

Bruno Portier, Nadine Hilgert

Publication date: 12 November 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2015.04.005

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zbMATH Keywords

goodness-of-fit testkernel density estimationfunctional autoregressive modelsmultivariate central limit theorem

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08)

Cites Work

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• On some global measures of the deviations of density function estimates
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• An updated review of goodness-of-fit tests for regression models
• The Kolmogorov-Smirnov, Cramer-von Mises Tests
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• A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
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• Strongly consistent density estimation of the regression residual
• Consistent nonparametric estimation of error distributions in linear model
• Estimating the density of the residuals in autoregressive models
• Title not available (Why is that?)
• Uniform iterated logarithm laws for martingales and their application to functional estimation in controlled Markov chains.
• Kernel Density Estimation and Goodness-of-Fit Test in Adaptive Tracking
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• Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models
• Global property of error density estimation in nonlinear autoregressive time series models
• A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• Goodness-of-fit test using residuals in infinite-order autoregressive models
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms
• A Test of Linearity for Functional Autoregressive Models
• Nonlinear Adaptive Tracking Using Kernel Estimators: Estimation and Test for Linearity

Cited In (2)

• Efficiency in multivariate functional nonparametric models with autoregressive errors
• Robust depth-based estimation of the functional autoregressive model

Uses Software

• R

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