Model checks of higher order time series

被引：10
|
作者：
Stute, W.
Presedo Quindimil, M.
Gonzalez Manteiga, W.
Koul, H. L. [1 ]
机构：
[1] Michigan State Univ, Dept Stat & Probabil, E Lansing, MI 48824 USA
[2] Univ Giessen, D-35390 Giessen, Germany
[3] Univ A Coruna, La Coruna, Spain
[4] Univ Santiago de Compostela, Santiago De Compostela, Spain
来源：
STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 13期
关键词：
higher order time series; model check; marked empirical processes; residual cusums; dimension reducing model;
D O I：
10.1016/j.spl.2006.02.009
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 this paper we propose and study nonparametric tests for the validity of higher order time-series models. These are based on properly defined residual cusums. In a simulation study it is shown that these tests outperform others when the time series has a dimension reducing character and the dimension becomes large. (C) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：1385 / 1396
页数：12
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