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Comparing the marginal densities of two strictly stationary linear processes

Author

Listed:
  • 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)

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.

Suggested Citation

  • Paul Doukhan & Ieva Grublytė & Denys Pommeret & Laurence Reboul, 2020. "Comparing the marginal densities of two strictly stationary linear processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1419-1447, December.
    • Handle: RePEc:spr:aistmt:v:72:y:2020:i:6:d:10.1007_s10463-019-00730-6
    DOI: 10.1007/s10463-019-00730-6
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    References listed on IDEAS

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