A locally asymptotically powerful test for nonlinear autoregressive models

DOI10.1016/J.CRMA.2008.02.017OpenAlexW2066937687MaRDI QIDQ931815FDOQ931815

F. Chebana, N. Laïb

Publication date: 26 June 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2008.02.017

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Mathematics Subject Classification ID

General nonlinear regression (62J02) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Mixing: Properties and examples
• Comparing nonparametric versus parametric regression fits
• Nonparametric model checks for regression
• Asymptotic theory of statistical inference for time series
• On Large-Sample Estimation and Testing in Parametric Models
• Identification of nonlinear time series from first order cumulative characteristics
• Checking nonlinear heteroscedastic time series models
• Non-Parametric Testing of Conditional Variance Functions in Time Series
• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
• Limiting distribution of weighted processes of residuals. Application to parametric nonlinear autoregressive models
• A weak invariance principle for cumulated functionals of the regressogram estimator with dependent data
• Nonparametric testing for correlation models with dependent data
• Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity

Cited In (5)

• On the power of Pearson's test under local alternatives in autoregression with outliers
• Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors
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