Comparing the marginal densities of two strictly stationary linear processes

Paul Doukhan, Ieva Grublytė, Denys Pommeret () and Laurence Reboul
Additional contact information
Paul Doukhan: University Cergy-Pontoise
Ieva Grublytė: Institute of Mathematics and Informatics of Vilnius University
Denys Pommeret: Univ. Lyon 1
Laurence Reboul: Aix Marseille Univ

Annals of the Institute of Statistical Mathematics, 2020, vol. 72, issue 6, No 5, 1419-1447

Abstract: Abstract In this paper, we adapt a data-driven smooth test to the comparison of the marginal distributions of two independent, short or long memory, strictly stationary linear sequences. Some illustrations are shown to evaluate the performances of our test.

Keywords: Linear processes; Local Whittle estimator; Long memory; Schwarz’s rule; Smooth test; Strictly stationary process (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10463-019-00730-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:aistmt:v:72:y:2020:i:6:d:10.1007_s10463-019-00730-6

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-019-00730-6

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().