Prequential omnibus goodness-of-fit tests for stochastic processes: A numerical study

DOI10.1080/03610918.2017.1291962MaRDI QIDQ5084739zbMATH OpenOpenAlexFDO

Authors Mhamed-Ali El-Aroui, Olivier Gaudoin

Publication date 28 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2017.1291962

zbMATH Keywords

model checkingsequential inferencepredictive performanceRosenblatt transformprequential efficiencyuniversal goodness-of-fit test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Diagnostics, and linear inference and regression (62J20) Sequential estimation (62L12)

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Cited in

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• Real-time prequential goodness-of-fit testing of life distributions in renewal processes

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