Distribution free goodness-of-fit tests for linear processes

DOI10.1214/009053605000000606zbMath1084.62038arXivmath/0603043OpenAlexW3104268654MaRDI QIDQ817984

Carlos Velasco, Javier Hidalgo, Miguel A. Delgado

Publication date: 23 March 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603043

zbMATH Keywords

omnibuslinear processeslocal alternativesspectral distributionWhittle estimatormartingale decompositiondirectional testslong-range alternativesnonparametric model checkingsmooth tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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