GOODNESS-OF-FIT TESTS IN LONG-RANGE DEPENDENT PROCESSES UNDER FIXED ALTERNATIVES

被引：0

作者：

Dette, Holger ^{[1
]}

Sen, Kemal ^{[1
]}

机构：

[1] Ruhr Univ Bochum, Fak Math, D-44780 Bochum, Germany

来源：

ESAIM-PROBABILITY AND STATISTICS | 2013年 / 17卷

关键词：

Long-range dependence; goodness-of-fit test; asymptotic power; periodogram; TIME-SERIES MODELS; NONPARAMETRIC REGRESSION; CONSISTENT TEST; ESTIMATORS;

D O I：

10.1051/ps/2012006

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In a recent paper Fay and Philippe [ESAIM: PS 6 (2002) 239-258] proposed a goodness-of-fit test for long-range dependent processes which uses the logarithmic contrast as information measure. These authors established asymptotic normality under the null hypothesis and local alternatives. In the present note we extend these results and show that the corresponding test statistic is also normally distributed under fixed alternatives.

引用

页码：432 / 443

页数：12

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ARCONES M. A, 1994, ANN PROBAB, V22, P2242