Data driven smooth test of comparison for dependent sequences
D. Pommeret and
Journal of Multivariate Analysis, 2015, vol. 139, issue C, pages 147-165
In this paper we propose a smooth test of comparison for the marginal distributions of strictly stationary dependent bivariate sequences. We first state a general test procedure and several cases of dependence are then investigated. The test is applied to both simulated data and real datasets.
Keywords: Smooth test; Schwarz’s rule; Strictly stationary process; m-dependence; α-mixing; θ-dependence; Long memory; Gaussian processes (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:jmvana:v:139:y:2015:i:c:p:147-165
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