$A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms$

A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms

In this work we deal with the problem of fitting an error density to the goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms. The test statistic is based on the integrated squared error of the nonparametric error density est...

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Veröffentlicht in:	arXiv.org 2014-08
Hauptverfasser:	Kyong-Hui, Kim, Sin, Myong-Guk, Kim, Ok-Kyong
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive models Density Economic models Errors Goodness of fit Normality Statistical tests Time series
Online-Zugang:	Volltext
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A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary \(\alpha\)-mixing error terms