A quantile function based analog to Neyman's smooth tests for goodness-of-fit hypotheses is developed. These procedures possess asymptotic and small-sample power properties similar to those for smooth ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
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