Data driven smooth test of comparison for dependent sequences

P. Doukhan (1) , D. Pommeret (2) , L. Reboul (2)

1 AGM - UMR 8088 - Analyse, Géométrie et Modélisation
2 I2M - Institut de Mathématiques de Marseille

In this paper we propose a smooth test of comparison for the marginal distributions of strictly stationary dependent bivariate sequences. We first state a general test procedure and several cases of dependence are then investigated. The test is applied to both simulated data and real datasets.

Mots clés: Smooth test; Schwarz’s rule; Strictly stationary process; m-dependence; α-mixing; θ-dependence; Long memory; Gaussian processes

Domaines: Statistiques [math.ST]

P. Doukhan, D. Pommeret, L. Reboul. Data driven smooth test of comparison for dependent sequences. Journal of Multivariate Analysis, 2015, 139, pp.147-165. ⟨10.1016/j.jmva.2015.02.017⟩. ⟨hal-01287763⟩