Goodness-of-fit testing under long memory

DOI10.1016/J.JSPI.2010.04.039zbMATH Open1233.62152OpenAlexW2106604592MaRDI QIDQ993816FDOQ993816

Authors: Hira L. Koul, Donatas Surgailis 

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.039

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zbMATH Keywords

moving averagesresidual empirical processsecond order expansion

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

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Cited In (18)

• Block Bootstrap for the Empirical Process of Long‐Range Dependent Data
• Bootstrap procedures for online monitoring of changes in autoregressive models
• Title not available (Why is that?)
• Goodness-of-fit tests in long-range dependent processes under fixed alternatives
• Normality testing for a long-memory sequence using the empirical moment generating function
• Comparing the marginal densities of two strictly stationary linear processes
• A goodness-of-fit test for marginal distribution of linear random fields with long memory
• On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications
• Empirical process of residuals for regression models with long memory errors
• Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
• Minimum distance lack-of-fit tests under long memory errors
• Residual empirical processes for nearly unstable long-memory time series
• Residual empirical processes for long and short memory time series
• Tests for time series of counts based on the probability-generating function
• Goodness-of-fit tests for long memory moving average marginal density
• Distribution free goodness-of-fit tests for linear processes
• A multivariate test against spurious long memory
• Smooth estimation of error distribution in nonparametric regression under long memory

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