文章基本信息

标题：Distribution Free Goodness-of-Fit Tests for Linear Processes
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作者：Miguel A. Delgado ; Javier Hidalgo ; Carlos Velasco 等
期刊名称：Japanese Studies Programme Papers
出版年度：2005
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett's Tp-processwith estimated parameters, which converges in distribution to the standard Brownian Motion under the null hypothesis. We discuss tests of different nature such as omnibus, directional and Portmanteau-type tests. A Monte Carlo study illustrates the performance of the different tests in practice
关键词：Nonparametric model checking; spectral distribution; linear processes; ;martingale decomposition; local alternatives; omnibus; smooth and directional tests; ;long-range alternatives