Testing the functions defining a nonlinear autoregressive time series

Jean Diebolt

Stochastic Processes and their Applications, 1990, vol. 36, issue 1, 85-106

Abstract: We first establish the consistency of regressogram type estimators of the functions T and U based on he observation of the processXn+1=T(Xn)+U(Xn)[var epsilon]n+1, then nonparametric goodness-of-fit tests for the functions T and U are introduced and discussed. These nonparametric tests constitute the main contribution of this article.

Keywords: autoregressive; consistency; convergence; in; distribution; o-mixing; nonlinear; nonparametric; regressogram; test; time; series; Wiener; process (search for similar items in EconPapers)
Date: 1990
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