Goodness-of-fit test for a nonlinear time series
Goodness-of-fit test in a general model of nonlinear time series is considered. We present an asymptotically distribution-free test based on a random field of innovation martingales. Its consistency under any fixed alternative is also proved. Copyright 2009 Blackwell Publishing Ltd
Volume (Year): 30 (2009)
Issue (Month): 6 (November)
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