Voir la notice de l'article provenant de la source Numdam
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.
@article{PS_2013__17__432_0,
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},
publisher = {EDP-Sciences},
volume = {17},
year = {2013},
doi = {10.1051/ps/2012006},
mrnumber = {3066387},
zbl = {1284.62524},
language = {en},
url = {http://geodesic.mathdoc.fr/articles/10.1051/ps/2012006/}
}
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 SP - 432 EP - 443 VL - 17 PB - EDP-Sciences UR - http://geodesic.mathdoc.fr/articles/10.1051/ps/2012006/ DO - 10.1051/ps/2012006 LA - en ID - PS_2013__17__432_0 ER -
%0 Journal Article %A Dette, Holger %A Sen, Kemal %T Goodness-of-fit tests in long-range dependent processes under fixed alternatives %J ESAIM: Probability and Statistics %D 2013 %P 432-443 %V 17 %I EDP-Sciences %U http://geodesic.mathdoc.fr/articles/10.1051/ps/2012006/ %R 10.1051/ps/2012006 %G en %F PS_2013__17__432_0
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
Cité par Sources :