Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/77132 
Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
Technical Report No. 2001,34
Verlag: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Zusammenfassung: 
In this note several aspects of specification tests in nonparametric models driven by an absolutely regular process are discussed, which were recently proprosed in the literature. In particular we give a more detailed asymptotic analysis of tests based on kernel methods under fixed alternatives using a central limit theorem for U-statistics with n-dependent nondegenerate kernel. As a by-product it is demonstrated that several results regarding the asymptotic distribution of goodness-of-fit tests are incorrectly stated in the literature. Moreover, our result indicates that recent results on the asymptotic equivalence between nonparametric autoregression and nonparametric regression cannot be used for the asymptotic analysis of goodness-of-fit tests under fixed alternatives.
Schlagwörter: 
nonparametric autoregressive model
goodness-of-fit test
absolute regular process
asymptotic equivalence
Dokumentart: 
Working Paper

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