An $L_p$-criterion for testing a hypothesis about the covariance function of a random sequence

DOI10.1090/tpms/990zbMath1346.60050OpenAlexW2485843873MaRDI QIDQ2817061

Tetyana O. Yanevich

Publication date: 29 August 2016

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/990

zbMATH Keywords

time serieshypothesis testingcovariance functionsstationary Gaussian sequence\(L_p\)-criterion

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10)

Related Items (2)

On test for checking hypothesis on expectation and covariance function of stochastic process ⋮ Goodness-of-fit tests for random sequences incorporating several components

Cites Work

• Time series: Theory and methods
• An approximation of $L_{p}(Ω)$ processes
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• On a measure of lack of fit in time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
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