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Goodness‐of‐fit test for a nonlinear time series

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  • Yoichi Nishiyama

Abstract

. 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.

Suggested Citation

  • Yoichi Nishiyama, 2009. "Goodness‐of‐fit test for a nonlinear time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 674-681, November.
  • Handle: RePEc:bla:jtsera:v:30:y:2009:i:6:p:674-681
    DOI: 10.1111/j.1467-9892.2009.00633.x
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    References listed on IDEAS

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    1. Escanciano, J. Carlos, 2007. "Weak convergence of non-stationary multivariate marked processes with applications to martingale testing," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1321-1336, August.
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