Model Checks Of Higher Order Time Series

W. Stute,M. Presedo Quindimil, W. Gonzalez Manteiga,H. L. Koul

Statistics & Probability Letters（2006）

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摘要

In this paper we propose and study nonparametric tests for the validity of higher order time-series models. These are based on properly defined residual cusums. In a simulation study it is shown that these tests outperform others when the time series has a dimension reducing character and the dimension becomes large. (C) 2006 Elsevier B.V. All rights reserved.

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关键词

higher order time series,model check,marked empirical processes,residual cusums,dimension reducing model

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