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Journal of the Korean Statistical Society, v.39 no.3, 2010년, pp.337 - 345
Chan, N.H. (Department of Statistics, The Chinese University of Hong Kong, Hong Kong) , Liu, W.W.
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This paper studies the goodness-of-fit test of the residual empirical process of a nearly unstable long-memory time series. Chan and Ling (2008) showed that the usual limit distribution of the Kolmogorov-Smirnov test statistics does not hold for an unstable autoregressive model. A key question of in...
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