The Annals of Statistics
- Ann. Statist.
- Volume 27, Number 1 (1999), 204-236.
Nonparametric model checks for time series
This paper studies a class of tests useful for testing the goodness-of-fit of an autoregressive model. These tests are based on a class of empirical processes marked by certain residuals. The paper first gives their large sample behavior under null hypotheses. Then a martingale transformation of the underlying process is given that makes tests based on it asymptotically distribution free. Consistency of these tests is also discussed briefly.
Ann. Statist., Volume 27, Number 1 (1999), 204-236.
First available in Project Euclid: 5 April 2002
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60F17: Functional limit theorems; invariance principles
Secondary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84] 62M30: Spatial processes 62J02: General nonlinear regression
Koul, Hira L.; Stute, Winfried. Nonparametric model checks for time series. Ann. Statist. 27 (1999), no. 1, 204--236. doi:10.1214/aos/1018031108. https://projecteuclid.org/euclid.aos/1018031108