This paper studies a class of tests useful for testing the
goodness-of-fit of an autoregressive model. These tests are based on a class of
empirical processes marked by certain residuals. The paper first gives their
large sample behavior under null hypotheses. Then a martingale transformation
of the underlying process is given that makes tests based on it asymptotically
distribution free. Consistency of these tests is also discussed briefly.
Publié le : 1999-03-14
Classification:
Marked empirical process,
$\psi$-residuals,
martingale transform tests,
autoregressive median function,
60F17,
62M10,
62M30,
62J02
@article{1018031108,
author = {Koul, Hira L. and Stute, Winfried},
title = {Nonparametric model checks for time series},
journal = {Ann. Statist.},
volume = {27},
number = {4},
year = {1999},
pages = { 204-236},
language = {en},
url = {http://dml.mathdoc.fr/item/1018031108}
}
Koul, Hira L.; Stute, Winfried. Nonparametric model checks for time series. Ann. Statist., Tome 27 (1999) no. 4, pp. 204-236. http://gdmltest.u-ga.fr/item/1018031108/