Abstract
Goodness-of-fit test in a general model of nonlinear time series is considered. We present an asymptotically distribution-free test based on a random field of innovation martingales. Its consistency under any fixed alternative is also proved.
| Original language | English |
|---|---|
| Pages (from-to) | 674-681 |
| Number of pages | 8 |
| Journal | Journal of Time Series Analysis |
| Volume | 30 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 2009 Nov 1 |
| Externally published | Yes |
Keywords
- Goodness-of-fit test
- Innovation martingale
- Invariance principle
- Marked empirical process
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics