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Goodness-of-fit tests in long-range dependent processes under fixed alternatives
ESAIM: Probability and Statistics, Tome 17 (2013), pp. 432-443 Cet article a éte moissonné depuis la source Numdam

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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.

DOI : 10.1051/ps/2012006
Classification : 60F05, 62F03
Keywords: Long-range dependence, goodness-of-fit test, asymptotic power, periodogram 
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     author = {Dette, Holger and Sen, Kemal},
     title = {Goodness-of-fit tests in long-range dependent processes under fixed alternatives},
     journal = {ESAIM: Probability and Statistics},
     pages = {432--443},
     year = {2013},
     publisher = {EDP-Sciences},
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     doi = {10.1051/ps/2012006},
     mrnumber = {3066387},
     zbl = {1284.62524},
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Dette, Holger; Sen, Kemal. Goodness-of-fit tests in long-range dependent processes under fixed alternatives. ESAIM: Probability and Statistics, Tome 17 (2013), pp. 432-443. doi: 10.1051/ps/2012006

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