A Nonparametric Goodness-of-fit Test for a Class of Parametric Autoregressive Models

1 IS2 - Statistical Inference for Industry and Health
Inria Grenoble - Rhône-Alpes, LBBE - Laboratoire de Biométrie et Biologie Evolutive
Abstract : We derive a nonparametric test for discriminating between generalized autoregressive models. This test is based on a suitably normalized sum of residuals. The null distribution and the power of the test under both fixed and a sequence of local alternatives are studied under mild stationarity and $\alpha$--mixing conditions. This procedure can be applied to testing linear models against nonlinear models or certain nonlinear models against others. Numerical simulations show that the proposed test is powerful against most of the alternatives considered.
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Rapport
RR-3065, INRIA. 1996
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https://hal.inria.fr/inria-00073627
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Soumis le : mercredi 24 mai 2006 - 13:22:18
Dernière modification le : jeudi 19 avril 2018 - 14:49:43
Document(s) archivé(s) le : dimanche 4 avril 2010 - 23:52:22

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• HAL Id : inria-00073627, version 1

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Joseph Ngatchou Wandji. A Nonparametric Goodness-of-fit Test for a Class of Parametric Autoregressive Models. RR-3065, INRIA. 1996. 〈inria-00073627〉

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