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A measure of information and its applications to test for randomness against ARMA alternatives and to goodness-of-fit test

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  • Mokkadem, Abdelkader

Abstract

In this paper we introduce a new method for the problem of testing for randomness against the alternative of ARMA dependence. We give the asymptotic law of our statistic under the null hypothesis and under the alternative hypothesis. Our method is based on a new measure of information between two stationary stochastic processes. As an application, we also derive a test for a simple hypothesis in the autoregressive case and in the ARMA case.

Suggested Citation

  • Mokkadem, Abdelkader, 1997. "A measure of information and its applications to test for randomness against ARMA alternatives and to goodness-of-fit test," Stochastic Processes and their Applications, Elsevier, vol. 72(2), pages 145-159, December.
    • Handle: RePEc:eee:spapps:v:72:y:1997:i:2:p:145-159
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    References listed on IDEAS

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    1. Masanobu Taniguchi & Masao Kondo, 1993. "Non‐Parametric Approach In Time Series Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(4), pages 397-408, July.
    2. Marc Hallin & Jean-François Ingenbleek & Madan Lal Puri, 1984. "Linear serial rank tests for randomness against ARMA alternatives," ULB Institutional Repository 2013/2167, ULB -- Universite Libre de Bruxelles.
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    Cited by:

    1. Dette, Holger & Spreckelsen, Ingrid, 2000. "A test for randomness against ARMA alternatives," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 131-139, September.

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