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
Externally publishedYes

Fingerprint

Distribution-free Test
Nonlinear Time Series
Goodness of Fit Test
Martingale
Random Field
Time series
Innovation
Alternatives
Model
Random field
Nonlinear time series
Distribution-free
Goodness of fit test

Keywords

  • Goodness-of-fit test
  • Innovation martingale
  • Invariance principle
  • Marked empirical process

ASJC Scopus subject areas

  • Applied Mathematics
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

Goodness-of-fit test for a nonlinear time series. / Nishiyama, Yoichi.

In: Journal of Time Series Analysis, Vol. 30, No. 6, 11.2009, p. 674-681.

Research output: Contribution to journalArticle

@article{369673454e2b462197f8b2a58201909e,
title = "Goodness-of-fit test for a nonlinear time series",
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.",
keywords = "Goodness-of-fit test, Innovation martingale, Invariance principle, Marked empirical process",
author = "Yoichi Nishiyama",
year = "2009",
month = "11",
doi = "10.1111/j.1467-9892.2009.00633.x",
language = "English",
volume = "30",
pages = "674--681",
journal = "Journal of Time Series Analysis",
issn = "0143-9782",
publisher = "Wiley-Blackwell",
number = "6",

}

TY - JOUR

T1 - Goodness-of-fit test for a nonlinear time series

AU - Nishiyama, Yoichi

PY - 2009/11

Y1 - 2009/11

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

UR - http://www.scopus.com/inward/citedby.url?scp=70350175895&partnerID=8YFLogxK

U2 - 10.1111/j.1467-9892.2009.00633.x

DO - 10.1111/j.1467-9892.2009.00633.x

M3 - Article

VL - 30

SP - 674

EP - 681

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

IS - 6

ER -