On bootstrapping L2-type statistics in density testing

We consider non-parametric tests for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a non-parametric and a smoothed version of a parametric estimate of the stationary density. Since this statistic behaves asymptotically as in the case of independent observations an i.i.d.-type bootstrap to determine the critical value for the test is proposed.

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Year of publication:	2000
Authors:	Neumann, Michael H. ; Paparoditis, Efstathios
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 50.2000, 2, p. 137-147
Publisher:	Elsevier
Keywords:	Bootstrap Stationary density Test Weak dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137872