IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v36y1990i1p85-106.html
   My bibliography  Save this article

Testing the functions defining a nonlinear autoregressive time series

Author

Listed:
  • Diebolt, Jean

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.

Suggested Citation

  • Diebolt, Jean, 1990. "Testing the functions defining a nonlinear autoregressive time series," Stochastic Processes and their Applications, Elsevier, vol. 36(1), pages 85-106, October.
    • Handle: RePEc:eee:spapps:v:36:y:1990:i:1:p:85-106
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(90)90044-S
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:36:y:1990:i:1:p:85-106. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.