On the asymptotic power of tests of fit under local alternatives in autoregression

DOI10.3103/S1066530719020042MaRDI QIDQ2322947zbMATH OpenOpenAlexWikidataFDO

Authors M. V. Boldin

Publication date 29 August 2019

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.03615

zbMATH Keywords

autoregressionempirical distribution functionKolmogorov's and omega-square testslocal alternativesresiduals

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Order statistics; empirical distribution functions (62G30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We consider a stationary $AR(p)$ model. The autoregression parameters are unknown as well as the distribution of innovations. Based on the residuals from the parameter estimates, an analog of empirical distribution function is defined and the tests of Kolmogorov's and $omeg{a}^2$ type is constructed for testing hypotheses on the normality of innovations. We obtain the asymptotic power of these tests under local alternatives.

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Cites work

• Estimation of the Distribution of Noise in an Autoregression Scheme
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Cited in

(9)

• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
• Testing under local misspecification and artificial regressions
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• On the power of Pearson's test under local alternatives in autoregression with outliers
• A score type test for general autoregressive models in time series
• scientific article; zbMATH DE number 3872512 (Why is no real title available?)
• On the Pearson's chi-square test for normality of autoregression with outliers
• On testing the symmetry of innovation distribution in autoregression schemes
• Local power of Kolmogorov's and omega-squared type criteria in autoregression

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