On bootstrapping L2-type statistics in density testing

Michael H. Neumann and Efstathios Paparoditis

Statistics & Probability Letters, 2000, vol. 50, issue 2, 137-147

Abstract: We consider non-parametric tests for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a non-parametric and a smoothed version of a parametric estimate of the stationary density. Since this statistic behaves asymptotically as in the case of independent observations an i.i.d.-type bootstrap to determine the critical value for the test is proposed.

Keywords: Bootstrap; Stationary; density; Test; Weak; dependence (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (8)

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