| A Score Type Test for General Autoregressive Models in Time Series |
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| 作者姓名： | Jian-hong Wu Li-xing Zhu |
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| 作者单位： | [1]College of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China [2]Hong Kong Baptist University, Hong Kong, China [3]East China Normal University, Shanghai 200062, China |
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| 基金项目： | Supported by a grant from the Research Grants Council of Hong Kong. |
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| 摘 要： |
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| 关 键 词： | 自回归级数 极值 时间参数 标记类型 |
| 修稿时间： | 2006-06-02 |
A Score Type Test for General Autoregressive Models in Time Series |
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| Jian-hong Wu Li-xing Zhu.A Score Type Test for General Autoregressive Models in Time Series[J].Acta Mathematicae Applicatae Sinica,2007,23(3):439-450. |
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| Authors: | Jian-hong Wu Li-xing Zhu |
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| Institution: | (1) College of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, 310018, China;(2) Hong Kong Baptist University, Hong Kong, China;(3) East China Normal University, Shanghai, 200062, China |
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| Abstract: | This paper is devoted to the goodness-of-fit test for the general autoregressive models in time series. By averaging for the weighted residuals, we construct a score type test which is asymptotically standard chi-squared under the null and has some desirable power properties under the alternatives. Specifically, the test is sensitive to alternatives and can detect the alternatives approaching, along a direction, the null at a rate that is arbitrarily close to n-1/2. Furthermore, when the alternatives are not directional, we construct asymptotically distribution-free maximin tests for a large class of alternatives. The performance of the tests is evaluated through simulation studies. |
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| Keywords: | Autoregressive model goodness-of-fit maximin test model checking score type test time series |
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