TY - JOUR
T1 - Goodness-of-fit test for a nonlinear time series
AU - Nishiyama, Yoichi
PY - 2009/11/1
Y1 - 2009/11/1
N2 - 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.
AB - 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.
KW - Goodness-of-fit test
KW - Innovation martingale
KW - Invariance principle
KW - Marked empirical process
UR - http://www.scopus.com/inward/record.url?scp=70350175895&partnerID=8YFLogxK
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U2 - 10.1111/j.1467-9892.2009.00633.x
DO - 10.1111/j.1467-9892.2009.00633.x
M3 - Article
AN - SCOPUS:70350175895
SN - 0143-9782
VL - 30
SP - 674
EP - 681
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
IS - 6
ER -