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Data driven smooth test of comparison for dependent sequences

P. Doukhan, D. Pommeret and L. Reboul

Journal of Multivariate Analysis, 2015, vol. 139, issue C, 147-165

Abstract: 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)
Date: 2015
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