most citedGoodness-of-fit tests for Markovian time series models: Central limit theory and bootstrap approximations

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math.ST2008★ 20 cited

Goodness-of-fit tests for Markovian time series models: Central limit theory and bootstrap approximations

Michael H. Neumann, Efstathios Paparoditis

New goodness-of-fit tests for Markovian models in time series analysis are developed which are based on the difference between a fully nonparametric estimate of the one-step transi…

math.ST2005

A Functional Wavelet-Kernel Approach for Continuous-time Prediction

Anestis Antoniadis, Efstathios Paparoditis, Theofanis Sapatinas

We consider the prediction problem of a continuous-time stochastic process on an entire time-interval in terms of its recent past. The approach we adopt is based on functional kern…