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A nonparametric test for the stationary density

Neumann, Michael H.; Paparoditis, Efstathios - 1998

We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent … observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric … observations. Accordingly, we propose an i.i.d.-type bootstrap to determine the critical value for the test. -- Bootstrap …

Persistent link: https://www.econbiz.de/10009578009

On robustness of model-based bootstrap schemes in nonparametric time series analysis

Neumann, Michael H. - 1997

Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable even if the true dependence mechanism is of a more complex structure, it is...

Persistent link: https://www.econbiz.de/10009660380

Teaching wavelets in XploRe

Klinke, Sigbert; Golubev, Yuri; Härdle, Wolfgang; … - 1997

Teachware is a set of computer software tools for computeraided interactive teaching of certain knowledge elements. The construction of teachware for statistical knowledge is a rather young field since it heavily depends on data structures and graphical interaction possibilities. In this paper...

Persistent link: https://www.econbiz.de/10009630542

Bootstrap inference in single equation error correction models

Herwartz, Helmut; Neumann, Michael H. - 2000

-run dynamics. For the latter issues it is known that common test-statistics are no longer pivotal if model errors exhibit … turns out to improve considerably the empirical size of common test statistics compared to first order asymptotic …

Persistent link: https://www.econbiz.de/10009612036