A measure of information and its applications to test for randomness against ARMA alternatives and to goodness-of-fit test

DOI10.1016/S0304-4149(97)00086-0zbMath0936.62101MaRDI QIDQ1965891

Abdelkader Mokkadem

Publication date: 1 March 2000

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

time seriesAR processesgoodness-of-fit testtest for randomnessARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistical aspects of information-theoretic topics (62B10)

Related Items (4)

A test for randomness against ARMA alternatives. ⋮ A Simple Test for White Noise in Functional Time Series ⋮ Testing discrete-valued time series for whiteness ⋮ Testing non-parametric hypotheses for stationary processes by estimating minimal distances

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• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• Rank Correlation and Tests of Significance Involving No Assumption of Normality
• An Exact Test for Randomness in the Non-Parametric Case Based on Serial Correlation

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