20 citations · 20 across the 11 of their papers we have counts for
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math.ST2016
Specification testing in nonparametric AR-ARCH models
Marie Hušková, Natalie Neumeyer, Tobias Niebuhr +1
In this paper an autoregressive time series model with conditional heteroscedasticity is considered, where both conditional mean and conditional variance function are modeled nonpa…
math.ST2016
The independence process in conditional quantile location-scale models and an application to testing for monotonicity
Melanie Birke, Natalie Neumeyer, Stanislav Volgushev
In this paper the nonparametric quantile regression model is considered in a location-scale context. The asymptotic properties of the empirical independence process based on covari…