This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett’s Tp-process with estimated parameters, which converges in distribution to the standard Brownian Motion under the null hypothesis. We discuss tests of different nature such as omnibus, directional and Portmanteau-type tests. A Monte Carlo study illustrates the performance of the different tests in practice
This paper studies a class of tests useful for testing goodness of fit of a wide variety of time ser...
In many statistical modeling frameworks, goodness-of-fit tests are typically administered to the est...
Ce travail est consacré au problème de construction des tests d'ajustement dans le cas des processus...
This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time se...
This article proposes a class of goodness-of-fit tests for the autocorrela-tion function of a time s...
Abstract. In this paper, we make use of the information measure introduced by Mokkadem (1997) for bu...
This article proposes goodness-of-fit tests for dynamic regression models, where regressors are allo...
This article proposes goodness-of- t tests for dynamic regression models, where regressors are allow...
The construction of asymptotically distribution free time series models specification tests based on...
This paper discusses goodness-of-fit tests for linear covariance stationary processes based on the e...
Goodness-of-fit tests for stationary processes are a problem of practical importance, e.g. in the an...
AbstractWe first establish the consistency of regressogram type estimators of the functions T and U ...
A new portmanteau test for time series more powerful than the tests ofLjung and Box (1978) and Monti...
The construction of asymptotically distribution free time series model specification tests using as ...
This paper studies a class of tests useful for testing goodness of fit of a wide variety of time ser...
In many statistical modeling frameworks, goodness-of-fit tests are typically administered to the est...
Ce travail est consacré au problème de construction des tests d'ajustement dans le cas des processus...
This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time se...
This article proposes a class of goodness-of-fit tests for the autocorrela-tion function of a time s...
Abstract. In this paper, we make use of the information measure introduced by Mokkadem (1997) for bu...
This article proposes goodness-of-fit tests for dynamic regression models, where regressors are allo...
This article proposes goodness-of- t tests for dynamic regression models, where regressors are allow...
The construction of asymptotically distribution free time series models specification tests based on...
This paper discusses goodness-of-fit tests for linear covariance stationary processes based on the e...
Goodness-of-fit tests for stationary processes are a problem of practical importance, e.g. in the an...
AbstractWe first establish the consistency of regressogram type estimators of the functions T and U ...
A new portmanteau test for time series more powerful than the tests ofLjung and Box (1978) and Monti...
The construction of asymptotically distribution free time series model specification tests using as ...
This paper studies a class of tests useful for testing goodness of fit of a wide variety of time ser...
In many statistical modeling frameworks, goodness-of-fit tests are typically administered to the est...
Ce travail est consacré au problème de construction des tests d'ajustement dans le cas des processus...
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