A nonparametric test for the stationary density
Date
1998Author
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer ProzesseNeumann, Michael H.
Paparoditis Efstathios, E.
Source
Discussion papers of interdisciplinary research project 373Volume
1998,58Google Scholar check
Metadata
Show full item recordAbstract
We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric estimate of the stationary density. It can be shown that this statistic behaves asymptotically as in the case of independent observations. Accordingly, we propose an i.i.d.-type bootstrap to determine the critical value for the test. -- Bootstrap stationary density test weak dependence
Links
http://hdl.handle.net/10419/61276http://nbn-resolving.de/urn:nbn:de:kobv:11-10057128
http://edoc.hu-berlin.de/series/sfb-373-papers/1998-58/PDF/58.pdf