On the asymptotic power of tests of fit under local alternatives in autoregression

DOI10.3103/S1066530719020042zbMath1426.62254arXiv2003.03615OpenAlexW2966596664WikidataQ127406596 ScholiaQ127406596MaRDI QIDQ2322947

Mikhaĭl Vasil'evich Boldin

Publication date: 29 August 2019

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.03615

zbMATH Keywords

local alternativesempirical distribution functionresidualsautoregressionKolmogorov's and omega-square tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30)

Related Items (1)

On testing the symmetry of innovation distribution in autoregression schemes

Cites Work

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• On the empirical distribution function of residuals in autoregression with outliers and Pearson's chi-square type tests
• Estimation of the Distribution of Noise in an Autoregression Scheme

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