Nonparametric model checks for time series (Q1807172): Difference between revisions
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Revision as of 21:25, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric model checks for time series |
scientific article |
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Nonparametric model checks for time series (English)
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9 November 1999
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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.
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marked empirical processes
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psi-residuals
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martingale transform tests
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autoregressive median function
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