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stat.ME2024
On testing for independence between generalized error models of several time series
Kilani Ghoudi, Bouchra R. Nasri, Bruno N. Remillard
We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete di…
stat.ME2021
Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
Kilani Ghoudi, Naâmane Laïb, Mohamed Chaouch
Using cumulative residual processes, we propose joint goodness-of-fit tests for conditional means and variances functions in the context of nonlinear time series with martingale di…