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stat.ME2012
Testing for a change of the innovation distribution in nonparametric autoregression - the sequential empirical process approach
Leonie Selk, Natalie Neumeyer
We consider a nonparametric autoregression model under conditional heteroscedasticity with the aim to test whether the innovation distribution changes in time. To this end we devel…
stat.ME2012
A note on nonparametric testing for Gaussian innovations in AR-ARCH models
Natalie Neumeyer, Leonie Selk
In this paper we consider autoregressive models with conditional autoregressive variance, including the case of homoscedastic AR-models and the case of ARCH models. Our aim is to t…