Estimation of the distribution function of noise in stationary processes
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DOI: 10.1007/BF02613623
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Cited by:
- Naâmane Laïb & Mohamed Lemdani & Elias Ould‐Saïd, 2008. "On residual empirical processes of GARCH‐SM models: application to conditional symmetry tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 762-782, September.
- Zacharias Psaradakis & Marián Vávra, 2019.
"Portmanteau tests for linearity of stationary time series,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 248-262, February.
- Marian Vavra, 2012. "Testing Non-linearity Using a Modified Q Test," Birkbeck Working Papers in Economics and Finance 1204, Birkbeck, Department of Economics, Mathematics & Statistics.
- Zacharias Psaradakis & Marian Vavra, 2016. "Portmanteau Tests for Linearity of Stationary Time Series," Working and Discussion Papers WP 1/2016, Research Department, National Bank of Slovakia.
- Zacharias Psaradakis & Marián Vávra, 2015. "Portmanteau Tests for Linearity of Stationary Time Series," Birkbeck Working Papers in Economics and Finance 1514, Birkbeck, Department of Economics, Mathematics & Statistics.
- W. Wefelmeyer, 1994. "An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(2), pages 309-315, June.
- Hao Yu, 2003. "Hierarchical equilibria of branching populations," RePAd Working Paper Series lrsp-TRS391, Département des sciences administratives, UQO.
- Bai, Jushan, 1991. "Weak convergence of the sequential empirical processes of residuals in ARMA models," MPRA Paper 32915, University Library of Munich, Germany, revised 06 Jul 1993.
- Boning Yang & Xinyi Tang & Chun Yip Yau, 2024. "Empirical prediction intervals for additive Holt–Winters methods under misspecification," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 754-770, April.
- Christian Francq & Jean-Michel Zakoïan, 2020. "Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models," Working Papers hal-02898909, HAL.
- Eckhard Liebscher, 1999. "Estimating the Density of the Residuals in Autoregressive Models," Statistical Inference for Stochastic Processes, Springer, vol. 2(2), pages 105-117, May.
- Zacharias Psaradakis & Marián Vávra, 2015.
"A Quantile-based Test for Symmetry of Weakly Dependent Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 587-598, July.
- Marian Vavra, 2013. "Testing for marginal asymmetry of weakly dependent processes," Working and Discussion Papers WP 1/2013, Research Department, National Bank of Slovakia.
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Keywords
Stationary process; linear process; autoregressive moving average process; estimated innovations; empirical distribution function; Brownian bridge; goodness-of-fit tests;All these keywords.
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