Adequacy of asymptotic theory for goodness-of-fit criteria for spectral distributions

Journal of Time Series Analysis

Volumn 17, Issue 6, 1996, Pages 533-552

  Anderson, T W ^a   You, Linfeng ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

Anderson Darling statistic; Cram r von Mises statistic; Kolmogorov Smirnov statistic; Simulation

Indexed keywords

EID: 0348078684     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1996.tb00292.x     Document Type: Article

References (9)

1. ANDERSON, T. W. (1993) Goodness of fit tests for spectral distributions. Ann. Stat. 21, 830-47.
2. _ and DARLING, D. A. (1952) Asymptotic theory of certain 'goodness of fit' criteria based on stochastic processes. Ann. Math. Stat. 23, 193-212.
3. _ and STEPHENS, M. A. (1993) The modified Cramér-von Mises goodness-of-fit criteria for time series. Sankhyā, 55, 357-69.
4. _, LOCKHART, R. A. and STEPHENS, M. A. (1995) Goodness-of-fit tests for the time series models AR(1) and MA(1). Unpublished.
5. LEWIS, P. A. W. (1961) Distribution of the Anderson-Darling statistic. Ann. Math. Stat. 32, 1118-24.
6. SHORACK, G. R. and WELLNER, J. A. (1986) Empirical Processes with Applications to Statistics. New York: Wiley.
7. SMIRNOV, N. V. (1948) Table for estimating the goodness of fit of empirical distributions. Ann. Math. Stat. 19, 279-81.
8. STEPHENS, M. A. (1986) Tests based on EPF statistics. In Goodness-of-fit Techniques (eds Ralph B. D'Agostino and Michael A. Stephens). New York: Marcel Dekker.
9. YOU, LINFENG (1993) Tests and confidence regions for spectral distribution functions based on the Kolmogorov-Smirnov statistic. Ph.D. Dissertation, Department of Statistics, Stanford University.