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Data driven smooth test of comparison for dependent sequences. (English) Zbl 1328.62263

Summary: 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.

MSC:

62G10 Nonparametric hypothesis testing
62E20 Asymptotic distribution theory in statistics
62M07 Non-Markovian processes: hypothesis testing
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05 Applications of statistics to actuarial sciences and financial mathematics

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