Comparison of autoregressive curves through partial sums of quasi-residuals

@inproceedings{Li2011ComparisonOA,
  title={Comparison of autoregressive curves through partial sums of quasi-residuals},
  author={Fang Li},
  year={2011}
}
This paper discusses the problem of testing the equality of two nonparametric autoregressive functions against two-sided alternatives. The heteroscedastic error and stationary densities of the two independent strong mixing strictly stationary time series can be possibly different. The paper adapts the partial sum process idea used in the independent… CONTINUE READING