Fitting an error distribution in some heteroscedastic time series models
L. Koul, Hira ; Ling, Shiqing
Ann. Statist., Tome 34 (2006) no. 1, p. 994-1012 / Harvested from Project Euclid
This paper addresses the problem of fitting a known distribution to the innovation distribution in a class of stationary and ergodic time series models. The asymptotic null distribution of the usual Kolmogorov–Smirnov test based on the residuals generally depends on the underlying model parameters and the error distribution. To overcome the dependence on the underlying model parameters, we propose that tests be based on a vector of certain weighted residual empirical processes. Under the null hypothesis and under minimal moment conditions, this vector of processes is shown to converge weakly to a vector of independent copies of a Gaussian process whose covariance function depends only on the fitted distribution and not on the model. Under certain local alternatives, the proposed test is shown to have nontrivial asymptotic power. The Monte Carlo critical values of this test are tabulated when fitting standard normal and double exponential distributions. The results obtained are shown to be applicable to GARCH and ARMA–GARCH models, the often used models in econometrics and finance. A simulation study shows that the test has satisfactory size and power for finite samples at these models. The paper also contains an asymptotic uniform expansion result for a general weighted residual empirical process useful in heteroscedastic models under minimal moment conditions, a result of independent interest.
Publié le : 2006-04-14
Classification:  Nonlinear time series models,  goodness-of-fit test,  weighted empirical process,  62F05,  62M10,  60G10
@article{1151418249,
     author = {L. Koul, Hira and Ling, Shiqing},
     title = {Fitting an error distribution in some heteroscedastic time series models},
     journal = {Ann. Statist.},
     volume = {34},
     number = {1},
     year = {2006},
     pages = { 994-1012},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1151418249}
}
L. Koul, Hira; Ling, Shiqing. Fitting an error distribution in some heteroscedastic time series models. Ann. Statist., Tome 34 (2006) no. 1, pp.  994-1012. http://gdmltest.u-ga.fr/item/1151418249/