Ngatchou-Wandji, Joseph; Harel, Michel - In: Statistical Inference for Stochastic Processes 16 (2013) 3, pp. 207-236
This paper has to do with a Cramér-von Mises test for symmetry of the error distribution in a class of absolutely regular and non-necessarily stationary heteroscedastic models. The test statistic is based on the empirical characteristic function. Its convergence, as well as that of the...