On some power properties of goodness-of-fit tests in time series analysis

Probability and Statistical Models with Applications

Volumn , Issue , 2000, Pages 333-348

  Paparoditis, Efstathios ^a  

^a UNIVERSITY OF CYPRUS   (Cyprus)

Author keywords

Goodness of fit; Local alternatives; Periodogram; Spectral density; Time series models

Indexed keywords

EID: 20744460104     PISSN: None     EISSN: None     Source Type: Book    
DOI: None     Document Type: Chapter

References (10)

1. Anderson, T. W. (1993). Goodness of fit tests for spectral distributions. Annals of Statistics 21, 830-847.
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3. Brockwell, P. and Davis, R. (1991). Time Series: Theory and Methods, Second Edition. Springer-Verlag, New York.
4. Dzhaparidze, K. (1986). Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series. SpringerVerlag, New York.
5. Eubank, R. L. and LaRiccia, V. N. (1992). Asymptotic comparison of Cramer-von Mises and nonparametric function estimation techniques for testing goodness-of-fit. Annals of Statistics 20, 2071-2086.
6. Ghosh, B. K. and Huang, W.-M. (1991). The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit. Annals of Statistics 19, 999-1009.
7. Paparoditis, E. (1997). Spectral density based goodness-of-fit tests in time series analysis. Scandinavian Journal of Statistics, forthcoming.
8. Priestley, M. B. (1981). Spectral Analysis and Time Series. Academic Press, New York.
9. Rosenblatt, M. (1975). A quadratic measure of deviation of twodimensional density estimates and a test of independence. Annals of Statistics 3, 1-14.
10. Shorack, G. R. and Wellner, J. A. (1986). Empirical Processes with Applications to Statistics, John Wiley & Sons, New York.