Goodness-of-fit test for long range dependent processes
نویسندگان
چکیده
منابع مشابه
Goodness-of-fit Test for Long Range Dependent Processes
In this paper, we make use of the information measure introduced by Mokkadem (1997) for building a goodness-of-fit test for long-range dependent processes. Our test statistic is performed in the frequency domain and writes as a non linear functional of the normalized periodogram. We establish the asymptotic distribution of our statistic under the null hypothesis. Under specific alternative hypo...
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ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2002
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps:2002013