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A nonparametric test for the change of the density function in strong mixing processes

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  • Lee, Sangyeol
  • Na, Seongryong

Abstract

In this paper, we consider the problem of testing for a change of the marginal density of a strong mixing process. The test statistic is constructed based on the sequential kernel estimate. In order to derive the asymptotic distribution of the test statistic, we first show that a functional central limit theorem holds for the sequential density estimator under some regularity conditions. Based on the result, we show that the limiting distribution of the test statistic is a function of independent Brownian bridges.

Suggested Citation

  • Lee, Sangyeol & Na, Seongryong, 2004. "A nonparametric test for the change of the density function in strong mixing processes," Statistics & Probability Letters, Elsevier, vol. 66(1), pages 25-34, January.
  • Handle: RePEc:eee:stapro:v:66:y:2004:i:1:p:25-34
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    References listed on IDEAS

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    1. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-1369, November.
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    Cited by:

    1. Natalie Neumeyer & Ingrid Van Keilegom, 2009. "Change‐Point Tests for the Error Distribution in Non‐parametric Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 518-541, September.
    2. Kapetanios, George, 2009. "Testing for strict stationarity in financial variables," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2346-2362, December.
    3. Leonie Selk & Natalie Neumeyer, 2013. "Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 770-788, December.
    4. Su, Liangjun & Xiao, Zhijie, 2008. "Testing for parameter stability in quantile regression models," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2768-2775, November.

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