کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1144990 957444 2010 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Residual empirical processes for nearly unstable long-memory time series
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Residual empirical processes for nearly unstable long-memory time series
چکیده انگلیسی
This paper studies the goodness-of-fit test of the residual empirical process of a nearly unstable long-memory time series. Chan and Ling (2008) showed that the usual limit distribution of the Kolmogorov-Smirnov test statistics does not hold for an unstable autoregressive model. A key question of interest is what happens when this model has a near unit root, that is, when it is nearly unstable. In this paper, it is established that the statistics proposed by Chan and Ling can be generalized to encompass nearly unstable long-memory models. In particular, the limit distribution is expressed as a functional of an Ornstein-Uhlenbeck process that is driven by a fractional Brownian motion. Simulation studies demonstrate that the limit distribution of the statistic possesses desirable finite sample properties and power.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Korean Statistical Society - Volume 39, Issue 3, September 2010, Pages 337-345
نویسندگان
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