ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S Up-STATISTIC

DOI10.1111/J.1467-9892.1985.TB00411.XzbMath0602.62081OpenAlexW2021585642MaRDI QIDQ3738439

Rainer Dahlhaus

Publication date: 1985

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1985.tb00411.x

zbMATH Keywords

asymptotic distributionGaussian processcentral limit theoremperiodogramstationary time seriesempirical spectral distributionARMA processesdata tapersgoodness-of- fit testBartlett's test statisticasymptotically Kolmogorov- Smirnov distributionestimated innovation sequenceSufficient conditions for the weak convergencetied down Brownian motion

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (9)

Bootstrap specification tests for linear covariance stationary processes ⋮ Local inference for locally stationary time series based on the empirical spectral measure ⋮ A frequency domain empirical likelihood for short- and long-range dependence ⋮ A goodness-of-fit process for ARMA(\(p\),\(q\)) models based on a modified residual autocorrelation sequence ⋮ An omnibus test for the time series model AR(1). ⋮ Distribution-free specification tests for dynamic linear models ⋮ Testing non-parametric hypotheses for stationary processes by estimating minimal distances ⋮ Weak convergence of dependent empirical measures with application to subsampling in function spaces ⋮ Distribution free goodness-of-fit tests for linear processes

Cites Work

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• ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY
• On the Exit Time of Sums of Bounded Random Variables from a Curvilinear Strip

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