Distribution free goodness-of-fit tests for linear processes
Distribution free goodness-of-fit tests for linear processes
This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett Tp-process with estimated parameters, which converges in distribution to the standard Brownian motion …