A locally asymptotically powerful test for nonlinear autoregressive models

DOI10.1016/J.CRMA.2008.02.017MaRDI QIDQ931815zbMATH OpenOpenAlexFDO

Authors 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

Mathematics Subject Classification ID

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

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Cites work

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

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(11)

• On the power of Pearson's test under local alternatives in autoregression with outliers
• Optimal tests in \(\mathrm{AR}(m)\) time series model
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• An efficient locally asymptotic parametric test in nonlinear heteroscedastic time series models
• scientific article; zbMATH DE number 720757 (Why is no real title available?)
• Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors
• Hypothesis testing for some time-series models: a power comparison
• A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations
• A locally asymptotically optimal test with application to financial data
• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
• scientific article; zbMATH DE number 775843 (Why is no real title available?)

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