Goodness-of-fit tests in long-range dependent processes under fixed alternatives

Holger Dette; Kemal Sen

ESAIM: Probability and Statistics (2013)

  • Volume: 17, page 432-443
  • ISSN: 1292-8100

Abstract

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In a recent paper Fay and Philippe [ESAIM: PS 6 (2002) 239–258] proposed a goodness-of-fit test for long-range dependent processes which uses the logarithmic contrast as information measure. These authors established asymptotic normality under the null hypothesis and local alternatives. In the present note we extend these results and show that the corresponding test statistic is also normally distributed under fixed alternatives.

How to cite

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Dette, Holger, and Sen, Kemal. "Goodness-of-fit tests in long-range dependent processes under fixed alternatives." ESAIM: Probability and Statistics 17 (2013): 432-443. <http://eudml.org/doc/273623>.

@article{Dette2013,
abstract = {In a recent paper Fay and Philippe [ESAIM: PS 6 (2002) 239–258] proposed a goodness-of-fit test for long-range dependent processes which uses the logarithmic contrast as information measure. These authors established asymptotic normality under the null hypothesis and local alternatives. In the present note we extend these results and show that the corresponding test statistic is also normally distributed under fixed alternatives.},
author = {Dette, Holger, Sen, Kemal},
journal = {ESAIM: Probability and Statistics},
keywords = {Long-range dependence; goodness-of-fit test; asymptotic power; periodogram},
language = {eng},
pages = {432-443},
publisher = {EDP-Sciences},
title = {Goodness-of-fit tests in long-range dependent processes under fixed alternatives},
url = {http://eudml.org/doc/273623},
volume = {17},
year = {2013},
}

TY - JOUR
AU - Dette, Holger
AU - Sen, Kemal
TI - Goodness-of-fit tests in long-range dependent processes under fixed alternatives
JO - ESAIM: Probability and Statistics
PY - 2013
PB - EDP-Sciences
VL - 17
SP - 432
EP - 443
AB - In a recent paper Fay and Philippe [ESAIM: PS 6 (2002) 239–258] proposed a goodness-of-fit test for long-range dependent processes which uses the logarithmic contrast as information measure. These authors established asymptotic normality under the null hypothesis and local alternatives. In the present note we extend these results and show that the corresponding test statistic is also normally distributed under fixed alternatives.
LA - eng
KW - Long-range dependence; goodness-of-fit test; asymptotic power; periodogram
UR - http://eudml.org/doc/273623
ER -

References

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