Abstract:
A stationary AR(p) model is considered. The autoregression parameters are unknown as well as the distribution of innovations. Based on the residuals from the parametric estimates, an analog of the empirical distribution function is defined and tests of Kolmogorov's and ω2 type are constructed for testing hypotheses on the distribution of innovations. The asymptotic power of these tests under local alternatives is obtained.
Key words:
autoregression, residuals, empirical distribution function, Kolmogorov's and omega-square tests, local alternatives.
Citation:
M. V. Boldin, “Local power of Kolmogorov’s and omega-squared type criteria in autoregression”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2019, no. 6, 58–61; Moscow University Mathematics Bulletin, 74:6 (2019), 249–252
\Bibitem{Bol19}
\by M.~V.~Boldin
\paper Local power of Kolmogorov’s and omega-squared type criteria in autoregression
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2019
\issue 6
\pages 58--61
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\jour Moscow University Mathematics Bulletin
\yr 2019
\vol 74
\issue 6
\pages 249--252
\crossref{https://doi.org/10.3103/S002713221906007X}
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Linking options:
https://www.mathnet.ru/eng/vmumm3643
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This publication is cited in the following 1 articles:
A. V. Staroverova, M. G. Tokmachev, A. N. Gagarin, N. B. Ferapontov, “Determination of the error of measurements obtained by the optical micrometry”, Zavod. lab., Diagn. mater., 89:6 (2023), 42
Citation in format AMSBIB
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