A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms

Kyong-Hui Kim, Myong-Guk Sin, Ok-Kyong Kim

In this work we deal with the problem of fitting an error density to the goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixin…