A nonparametric test for conditional symmetry in nonstationary and absolutely regular dynamical models

Joseph Ngatchou-Wandji; Michel Harel; Echarif Elharfaoui

doi:10.1016/j.crma.2010.09.007

Statistics

A nonparametric test for conditional symmetry in nonstationary and absolutely regular dynamical models
[Un test non paramétrique de la symétrie conditionnelle des modèles dynamiques non stationnaires et absolument réguliers]

Présenté par : Paul Deheuvels

Joseph Ngatchou-Wandji ¹ ; Michel Harel ^2,³ ; Echarif Elharfaoui ^4,³

¹ EHESP, Rennes and Université Henri-Poincaré, 54506 Vandoeuvre-lès-Nancy cedex, France
² IUFM du Limousin, 209, boulevard de Vanteaux, 87036 Limoges cedex, France
³ IMT (UMR CNRS 5219), Université Paul-Sabatier, 31062 Toulouse cedex, France
⁴ EMMID, Département de mathématiques et informatique, université Chouaîb-Doukkali, faculté des sciences El-Jadida, route Ben-Maachou, B.P. 20, 24000, Morocco

Comptes Rendus. Mathématique, Volume 348 (2010) no. 17-18, pp. 1021-1026.

Résumé
Abstract

Dans cette Note, nous reconsidérons le test de symétrie de la loi du bruit dans une classe de modèles hétéroscédastiques proposé par Ngatchou-Wandji (2009). Le cadre de notre étude est celui où, aussi bien les observations que les erreurs, ne sont plus nécessairement stationnaires, mais absolument régulières.

In this Note, we reconsider the test for symmetry of the errors distribution in a class of heteroscedastic models proposed by Ngatchou-Wandji (2009). In the new study, the observations, as well as the errors, are not necessarily stationary but are required to be absolutely regular.

Reçu le : 2010-06-29
Accepté le : 2010-09-06
Publié le : 2010-09-01

DOI : 10.1016/j.crma.2010.09.007

Affiliations des auteurs :

Joseph Ngatchou-Wandji ¹ ; Michel Harel ^{2, 3} ; Echarif Elharfaoui ^{4, 3}

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     author = {Joseph Ngatchou-Wandji and Michel Harel and Echarif Elharfaoui},
     title = {A nonparametric test for conditional symmetry in nonstationary and absolutely regular dynamical models},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {1021--1026},
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     volume = {348},
     number = {17-18},
     year = {2010},
     doi = {10.1016/j.crma.2010.09.007},
     language = {en},
}

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Joseph Ngatchou-Wandji; Michel Harel; Echarif Elharfaoui. A nonparametric test for conditional symmetry in nonstationary and absolutely regular dynamical models. Comptes Rendus. Mathématique, Volume 348 (2010) no. 17-18, pp. 1021-1026. doi : 10.1016/j.crma.2010.09.007. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2010.09.007/

Bibliographie
Cité par

[1] J. Bai; S. Ng A consistent test for conditional symmetry in time series models, J. Econometrics, Volume 103 (2001), pp. 225-258

[2] M.A. Delgado; J.C. Escanciano Nonparametric tests for conditional symmetry in dynamic models, J. Econometrics, Volume 141 (2007), pp. 652-682

[3] J.P. Imhof Computing the distribution of quadratic forms in normal variables, Biometrika, Volume 48 (1961), pp. 419-426

[4] J. Ngatchou-Wandji Testing symmetry of the error distribution in nonlinear heteroscedastic models, Comm. Statist. Theory Methods, Volume 38 (2009), pp. 1465-1485

[5] A. Pérez–Alonso A bootstrap approach to test the conditional symmetry in time series models, Comput. Statist. Dat. Anal., Volume 51 (2007), pp. 3484-3504

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