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Comparing the marginal densities of two strictly stationary linear processes

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Abstract

In this paper, we adapt a data-driven smooth test to the comparison of the marginal distributions of two independent, short or long memory, strictly stationary linear sequences. Some illustrations are shown to evaluate the performances of our test.

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Acknowledgements

The authors thank the referees and the associate editor for their careful reading and their suggestions which lead to improve the manuscript. The authors thank Donatas Surgailis for his kind help. This work has been developed within the MME-DII center of excellence (ANR-11-LABEX-0023-01) and PAI-CONICYT MEC Number 80170072.

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Authors and Affiliations

  1. Department of Mathematics, University Cergy-Pontoise, AGM-UMR 8080, 2 Bd. Adolphe Chauvin, 95000, Cergy-Pontoise, France

    Paul Doukhan

  2. Institute of Mathematics and Informatics of Vilnius University, 4 Akademijos, 08663, Vilnius, Lithuania

    Ieva Grublytė

  3. ISFA, LSAF, and Aix Marseille Univ, CNRS, Centrale Marseille, I2M, Univ. Lyon 1, 163 Avenue de Luminy, 13009, Marseille, France

    Denys Pommeret

  4. CNRS, Centrale Marseille, I2M, Aix Marseille Univ, 163 Avenue de Luminy, 13009, Marseille, France

    Laurence Reboul

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  1. Paul Doukhan
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  2. Ieva Grublytė
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  3. Denys Pommeret
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  4. Laurence Reboul
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Correspondence to Denys Pommeret.

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Doukhan, P., Grublytė, I., Pommeret, D. et al. Comparing the marginal densities of two strictly stationary linear processes. Ann Inst Stat Math 72, 1419–1447 (2020). https://doi.org/10.1007/s10463-019-00730-6

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  • DOI: https://doi.org/10.1007/s10463-019-00730-6

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