A note on the Bickel–Rosenblatt test in autoregressive time series
نویسندگان
چکیده
منابع مشابه
A note on the Bickel - Rosenblatt test in autoregressive time series
In a recent paper Lee and Na (2001) introduced a test for a parametric form of the distribution of the innovations in autoregressive models, which is based on the integrated squared error of the nonparametric density estimate from the residuals and a smoothed version of the parametric fit of the density. They derived the asymptotic distribution under the null-hypothesis, which is the same as fo...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2005
ISSN: 0167-7152
DOI: 10.1016/j.spl.2005.04.003