The Annals of Statistics

Asymptotic Distributions of Prediction Errors and Related Tests of Fit for Nonstationary Processes

I. V. Basawa

Full-text: Open access

Abstract

Limit distributions of prediction errors when the parameters are estimated are obtained for a general class of nonstationary processes that includes supercritical branching processes and explosive autoregressive processes as typical examples. The estimated prediction errors are used to construct new tests of fit whose limit distributions are also derived.

Article information

Source
Ann. Statist., Volume 15, Number 1 (1987), 46-58.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176350252

Digital Object Identifier
doi:10.1214/aos/1176350252

Mathematical Reviews number (MathSciNet)
MR885723

Zentralblatt MATH identifier
0625.62084

JSTOR
links.jstor.org

Subjects
Primary: 62M07: Non-Markovian processes: hypothesis testing
Secondary: 62M09: Non-Markovian processes: estimation 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]

Keywords
Estimated prediction errors branching processes explosive autoregressive processes predictive tests of fit

Citation

Basawa, I. V. Asymptotic Distributions of Prediction Errors and Related Tests of Fit for Nonstationary Processes. Ann. Statist. 15 (1987), no. 1, 46--58. doi:10.1214/aos/1176350252. https://projecteuclid.org/euclid.aos/1176350252


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