An omnibus test for the time series model AR(1).

DOI10.1016/S0304-4076(03)00137-4zbMath1033.62040OpenAlexW2079618292MaRDI QIDQ1421315

T. W. Anderson, Michael A. Stephens, Richard A. Lockhart

Publication date: 26 January 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00137-4

zbMATH Keywords

tablesGoodness-of-fitCramér--von Mises testSpectral distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

The continuous and discrete Brownian bridges: Representations and applications ⋮ A characterization of the innovations of first order autoregressive models ⋮ An Omnibus Test for Time Series ModelI(d)

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• On Spectral Analysis of Stationary Time Series
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

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