Goodness-of-fit test for a nonlinear time series

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)674-681
Number of pages8
JournalJournal of Time Series Analysis
Volume30
Issue number6
DOIs
Publication statusPublished - 2009 Nov 1

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

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