Nonparametric model checks for time series (Q1807172): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1214/aos/1018031108 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2006445193 / rank | |||
Normal rank | |||
Revision as of 20:25, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric model checks for time series |
scientific article |
Statements
Nonparametric model checks for time series (English)
0 references
9 November 1999
0 references
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 the 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.
0 references
marked empirical processes
0 references
psi-residuals
0 references
martingale transform tests
0 references
autoregressive median function
0 references
