Sign Invariance in Goodness-of-Fit Tests for Time Series

DOI10.1111/1467-9892.00194zbMath0971.62044OpenAlexW2020015664MaRDI QIDQ2742776

T. W. Anderson, Michael A. Stephens

Publication date: 23 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00194

zbMATH Keywords

time series analysisstationary processesARMA modelsKolmogorov-Smirnov statisticCramer-von Mises statisticstandardized spectral distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Finite population corrections for the Kolmogorov–Smirnov tests ⋮ An omnibus test for the time series model AR(1).

This page was built for publication: Sign Invariance in Goodness-of-Fit Tests for Time Series