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

ESAIM: Probability and Statistics (2013)

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

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topDette, 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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