A goodness-of-fit test for marginal distribution of linear random fields with long memory
Abstract This paper addresses the problem of fitting a known distribution function to the marginal distribution of a stationary long memory moving average random field observed on increasing $$\nu $$ ν -dimensional “cubic” domains when its mean $$\mu $$ μ and scale $$\sigma $$ σ are known or unknown. Using two suitable estimators of $$\mu $$ μ and a classical estimate of $$\sigma $$ σ , a modification of the Kolmogorov–Smirnov statistic is defined based on the residual empirical process and having a Cauchy-type limit distribution, independent of $$\mu ,\sigma $$ μ , σ and the long memory parameter d. Based on this result, a simple goodness-of-fit test for the marginal distribution is constructed, which does not require the estimation of d or any other underlying nuisance parameters. The result is new even for the case of time series, i.e., when $$\nu =1$$ ν = 1 . Findings of a simulation study investigating the finite sample behavior of size and power of the proposed test is also included in this paper.
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Volume (Year): 79 (2016)
Issue (Month): 2 (February)
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- Hira Koul & Nao Mimoto & Donatas Surgailis, 2013. "Goodness-of-fit tests for long memory moving average marginal density," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(2), pages 205-224, February.
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- Lavancier, Frédéric & Philippe, Anne & Surgailis, Donatas, 2010. "A two-sample test for comparison of long memory parameters," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2118-2136, October.
- Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2009. "Two estimators of the long-run variance: Beyond short memory," Journal of Econometrics, Elsevier, vol. 150(1), pages 56-70, May.
- Guo, Hongwen & Lim, Chae Young & Meerschaert, Mark M., 2009. "Local Whittle estimator for anisotropic random fields," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 993-1028, May.
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