Translator Disclaimer
December 2005 Distribution free goodness-of-fit tests for linear processes
Miguel A. Delgado, Javier Hidalgo, Carlos Velasco
Ann. Statist. 33(6): 2568-2609 (December 2005). DOI: 10.1214/009053605000000606

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 transformation of the Bartlett Tp-process with estimated parameters, which converges in distribution to the standard Brownian motion under the null hypothesis. We discuss tests of different natures such as omnibus, directional and Portmanteau-type tests. A Monte Carlo study illustrates the performance of the different tests in practice.

Citation

Download Citation

Miguel A. Delgado. Javier Hidalgo. Carlos Velasco. "Distribution free goodness-of-fit tests for linear processes." Ann. Statist. 33 (6) 2568 - 2609, December 2005. https://doi.org/10.1214/009053605000000606

Information

Published: December 2005
First available in Project Euclid: 17 February 2006

zbMATH: 1084.62038
MathSciNet: MR2253096
Digital Object Identifier: 10.1214/009053605000000606

Subjects:
Primary: 62G10, 62M10
Secondary: 62F17, 62M15

Rights: Copyright © 2005 Institute of Mathematical Statistics

JOURNAL ARTICLE
42 PAGES


SHARE
Vol.33 • No. 6 • December 2005
Back to Top