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http://hdl.handle.net/10016/2491
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| Title: | Distribution free goodness-of-fit tests for linear processes |
| Author(s): | Delgado, Miguel A. [delgado]
Hidalgo, Javier
Velasco, Carlos [cavelas] |
| Publisher: | Institute of Mathematical Statistics |
| Issued date: | 2005 |
| Citation: | Annals of Statistics. 2005, vol. 33, nº 6, p. 2568-2609 |
| URI: | http://hdl.handle.net/10016/2491 |
| ISSN: | 0090-5364 |
| DOI: | 10.1214/009053605000000606 |
| Abstract: | This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett Tp-process with estimated parameters, which converges in distribution to the standard Brownian motion under the null hypothesis. We discuss tests of different natures such as omnibus, directional and Portmanteau-type tests. A Monte Carlo study illustrates the performance of the different tests in practice. |
| Review: | PeerReviewed |
| Keywords: | Nonparametric model checking
spectral distribution
linear processes
martingale decomposition
local alternatives
omnibus
smooth and directional tests
long range alternatives |
| Rights: | openAccess |
| Appears in Collections: | DE - Artículos de Revistas
Economists Online
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