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February 1999 Nonparametric model checks for time series
Hira L. Koul, Winfried Stute
Ann. Statist. 27(1): 204-236 (February 1999). DOI: 10.1214/aos/1018031108

Abstract

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.

Citation

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Hira L. Koul. Winfried Stute. "Nonparametric model checks for time series." Ann. Statist. 27 (1) 204 - 236, February 1999. https://doi.org/10.1214/aos/1018031108

Information

Published: February 1999
First available in Project Euclid: 5 April 2002

zbMATH: 0955.62089
MathSciNet: MR1701108
Digital Object Identifier: 10.1214/aos/1018031108

Subjects:
Primary: 60F17
Secondary: 62J02, 62M10, 62M30

Rights: Copyright © 1999 Institute of Mathematical Statistics

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Vol.27 • No. 1 • February 1999
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