Nonparametric model checks for time series
Open Access
- 1 March 1999
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 27 (1) , 204-236
- https://doi.org/10.1214/aos/1018031108
Abstract
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.Keywords
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