The Kolmogorov-Smirnov distance as criterion of choice of estimators with application to the first order auto-regressive case: A Monte Carlo study. (English) Zbl 0549.62080
MSC:
62P20 | Applications of statistics to economics |
62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
65C05 | Monte Carlo methods |