Photo by mbrunacr from unsplash
We consider a stationary AR(p) model. The autoregression parameters are unknown as well as the distribution of innovations. Based on the residuals from the parameter estimates, an analog of empirical… Click to show full abstract
We consider a stationary AR(p) model. The autoregression parameters are unknown as well as the distribution of innovations. Based on the residuals from the parameter estimates, an analog of empirical distribution function is defined and the tests of Kolmogorov’s and ω2 type are constructed for testing hypotheses on the distribution of innovations. We obtain the asymptotic power of these tests under local alternatives.
Keywords:
asymptotic power;
local alternatives;
power tests;
tests fit;
fit local
Journal Title: Mathematical Methods of Statistics
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Mathematical Methods of Statistics
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!