Email this article On the Asymptotic Power of Tests of Fit under Local Alternatives in Autoregression
- Authors: Boldin M.V.1
-
Affiliations:
- Dept. Mech. Math.
- Issue: Vol 28, No 2 (2019)
- Pages: 144-154
- Section: Article
- URL: https://journal-vniispk.ru/1066-5307/article/view/225909
- DOI: https://doi.org/10.3103/S1066530719020042
- ID: 225909
Cite item
Open Access
Access granted
Subscription Access
Abstract
We consider a stationary AR(p) model. The autoregression parameters are unknown as well as the distribution of innovations. Based on the residuals from the parameter estimates, an analog of empirical distribution function is defined and the tests of Kolmogorov’s and ω2 type are constructed for testing hypotheses on the distribution of innovations. We obtain the asymptotic power of these tests under local alternatives.
About the authors
M. V. Boldin
Dept. Mech. Math.
Author for correspondence.
Email: boldin_m@hotmail.com
Russian Federation, Moscow
Supplementary files
