Efficiency in multivariate functional nonparametric models with autoregressive errors

A New Test in Parametric Linear Models with Nonparametric Autoregressive Errors

This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially avoid misspecification through the need to parametrically specify the form of the errors. In other words...

Chapter 40 : Multivariate autoregressive models

A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors

This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially avoid misspecification through the need to parametrically specify the form of the errors. In other words...

On nonergodicity for nonparametric autoregressive models

*Correspondence: [email protected] School of Science, Jiangxi University of Science and Technology, Ganzhou, 341000, China Abstract In this paper, we introduce a class of nonlinear time series models with random time delay under random environment, sufficient conditions for nonergodicity of these models are developed. The so-called Markovnization methods are used, that is, proper supplem...

Nonparametric Estimation of Volatility Models with General Autoregressive Innovations

We are interested in modeling a zero mean heteroscedastic time series process with autoregressive error process of finite known order p. The model can be used for testing a martingale difference sequence hypothesis that is often adopted uncritically in financial time series against a fairly general alternative. When the argument is deterministic, we provide an innovative nonparametric estimator...