Nonparametric model checks for time series

被引：6
|
作者：
Koul, HL [1 ]
Stute, W
机构：
[1] Michigan State Univ, Dept Stat & Probabil, E Lansing, MI 48824 USA
[2] Univ Giessen, Inst Math, D-35392 Giessen, Germany
来源：
ANNALS OF STATISTICS | 1999年 / 27卷 / 01期
关键词：
marked empirical process; psi-residuals; martingale transform tests; autoregressive median function;
D O I：
暂无
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：
This paper studies a class of tests useful for testing the goodness-of-fit of an autoregressive model. These tests are based on a class of empirical processes marked by certain residuals. The paper first gives their large sample behavior under null hypotheses. Then a martingale transformation of the underlying process is given that makes tests based on it asymptotically distribution free. Consistency of these tests is also discussed briefly.
引用
收藏
页码：204 / 236
页数：33
相关论文
共 50 条
  • [1] Nonparametric model checks for regression
    Stute, W
    [J]. ANNALS OF STATISTICS, 1997, 25 (02): : 613 - 641
  • [2] Model checks of higher order time series
    Stute, W.
    Presedo Quindimil, M.
    Gonzalez Manteiga, W.
    Koul, H. L.
    [J]. STATISTICS & PROBABILITY LETTERS, 2006, 76 (13) : 1385 - 1396
  • [3] A Nonparametric Model for Stationary Time Series
    Antoniano-Villalobos, Isadora
    Walker, Stephen G.
    [J]. JOURNAL OF TIME SERIES ANALYSIS, 2016, 37 (01) : 126 - 142
  • [4] Nonparametric model checks in censored regression
    Stute, W
    Manteiga, WG
    Sellero, CS
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2000, 29 (07) : 1611 - 1629
  • [5] Diagnostic checks in time series
    Norat, MA
    [J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, 2005, 168 : 256 - 256
  • [6] Nonparametric tests for model selection with time series data
    Javier Hidalgo
    [J]. Test, 1999, 8 : 365 - 398
  • [7] COMPRESSIVE NONPARAMETRIC GRAPHICAL MODEL SELECTION FOR TIME SERIES
    Jung, Alexander
    Heckel, Reinhard
    Boelcskei, Helmut
    Hlawatsch, Franz
    [J]. 2014 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP), 2014,
  • [8] Nonparametric tests for model selection with time series data
    Hidalgo, J
    [J]. TEST, 1999, 8 (02) : 365 - 398
  • [9] NONPARAMETRIC MODEL CHECKS OF SINGLE-INDEX ASSUMPTIONS
    Maistre, Samuel
    Patilea, Valentin
    [J]. STATISTICA SINICA, 2019, 29 (01) : 113 - 138
  • [10] Nonparametric Time Series Prediction Through Adaptive Model Selection
    Ron Meir
    [J]. Machine Learning, 2000, 39 : 5 - 34
12345