Model checks of higher order time series

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.

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Year of publication:	2006
Authors:	Stute, W. ; Presedo Quindimil, M. ; González Manteiga, W. ; Koul, H.L.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 13, p. 1385-1396
Publisher:	Elsevier
Keywords:	Higher order time series Model check Marked empirical processes Residual cusums Dimension reducing model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254475