Testing the functions defining a nonlinear autoregressive time series

DOI10.1016/0304-4149(90)90044-SzbMath0704.62083MaRDI QIDQ917203

Jean Diebolt

Publication date: 1990

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

consistency; Wiener process; convergence in distribution; goodness-of-fit tests; numerical simulation; functional limit theorem; phi-mixing; nonlinear autoregressive time series; regressogram type estimators; stationary random sequence

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F17: Functional limit theorems; invariance principles

Related Items

Weak convergence of some marked empirical processes: Application to testing heteroscedasticity, Nonparametric testing for correlation models with dependent data, Estimates of the tail of the stationary density function of certain nonlinear autoregressive processes, A nonparametric goodness-of-fit test for a class of parametric autoregressive models, A nonparametric test for the regression function: Asymptotic theory, Approximations for hybrids of empirical and partial sums processes, Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors, A weak invariance principle for cumulated functionals of the regressogram estimator with dependent data

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