Goodness-of-fit tests for random sequences incorporating several components

DOI10.1515/ROSE-2017-0001MaRDI QIDQ515470zbMATH OpenOpenAlexFDO

Authors Tetiana O. Ianevych, Viktor Troshki, Yu. V. Kozachenko

Publication date 16 March 2017

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2017-0001

zbMATH Keywords

asymptotic propertiestime seriescovariance functiongoodness-of-fit testrandom sequenceexpectationestimatorssquare Gaussian random variable

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Non-Markovian processes: hypothesis testing (62M07) Stationary stochastic processes (60G10)

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Cites work

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• A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
• A criterion for testing hypotheses about the covariance function of a Gaussian stationary process
• An \(L_p\)-criterion for testing a hypothesis about the covariance function of a random sequence
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Goodness-of-fit tests for random sequences incorporating several components
• Improved multivariate portmanteau test
• On a measure of lack of fit in time series models
• The Multivariate Portmanteau Statistic
• Time series: Theory and methods

Cited in

(4)

• Goodness-of-fit tests for system components with random redundancy levels
• On Testing for Impropriety of Multivariate Complex-Valued Random Sequences
• Goodness-of-fit tests for random sequences incorporating several components
• On test for checking hypothesis on expectation and covariance function of stochastic process

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