Fitting an error distribution in some heteroscedastic time series models
نویسندگان
چکیده
منابع مشابه
Fitting an Error Distribution in Some Heteroscedastic Time Series Models1 by Hira L. Koul
This paper addresses the problem of fitting a known distribution to the innovation distribution in a class of stationary and ergodic time series models. The asymptotic null distribution of the usual Kolmogorov–Smirnov test based on the residuals generally depends on the underlying model parameters and the error distribution. To overcome the dependence on the underlying model parameters, we prop...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2006
ISSN: 0090-5364
DOI: 10.1214/009053606000000191