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非平稳时间序列模型的设定检验AI 解读

In this paper, we consider a specification testing problem in nonlinear time series models with nonstationary regressors, and we propose using a nonparametric kernel‐based test statistic. The null asymptotics for the proposed nonparametric test statistic have been well developed in the existing literature. In this paper, we study the local asymptotics of the test statistic (i.e. the asymptotic properties of the test statistic under a sequence of general nonparametric local…

平稳过程周期图最大值的极限分布AI 解读

Abstract. We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on m-dependent approximation for stationary processes and a moderate deviation result.