No. 1070

Title:

Goodness of fit test for a non-linear time series

Author(s):

Nishiyama, Yoichi (The Institute of Statistical Mathematics)

Key words:

Goodness of fit test, innovation martingale, invariance principle, marked empirical process.

Abstract:

    Goodness of fit test in a general model of non-linear 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.