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Neyman smooth goodness-of-fit tests for the marginal distribution of dependent data

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Author Info

  • Axel Munk

    ()

  • Jean-Pierre Stockis

    ()

  • Janis Valeinis

    ()

  • Götz Giese

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10463-009-0260-2
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 63 (2011)
    Issue (Month): 5 (October)
    Pages: 939-959

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    Handle: RePEc:spr:aistmt:v:63:y:2011:i:5:p:939-959

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Neyman’s smooth test; Goodness-of-fit; Strongly mixing process; Implied volatility;

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    1. Neumann, Michael H. & Paparoditis, Efstathios, 2000. "On bootstrapping L2-type statistics in density testing," Statistics & Probability Letters, Elsevier, vol. 50(2), pages 137-147, November.
    2. Fan, Jianqing & Yao, Qiwei, 1998. "Efficient estimation of conditional variance functions in stochastic regression," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
    3. Alicja Janic-Wró, 2000. "Data Driven Rank Test for Two-Sample Problem," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 27(2), pages 281-297.
    4. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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