Distribution free goodness-of-fit tests for linear processes

Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos

Distribution free goodness-of-fit tests for linear processes

Author(s): Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos

Publisher: Institute of Mathematical Statistics

Issued date: 2005

Citation: Annals of Statistics, 2005, vol. 33, nº 6, p. 2568-2609

ISSN: 0090-5364

DOI: 10.1214/009053605000000606

Review: PeerReviewed

Publisher version: http://dx.doi.org/10.1214/009053605000000606

Keywords: Nonparametric model checking , Spectral distribution , Linear processes , Martingale decomposition , Local alternatives , Omnibus , Smooth and directional tests , Long range alternatives

URI: http://hdl.handle.net/10016/2491

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 transfor [+]

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