Characteristic function-based goodness-of-fit tests under weak dependence

by    A. Leucht

Preprint series: 10-06, Reports on Stochastics and Statistics

A. Leucht

Preprint series: , Reports on Stochastics and Statistics

MSC:
62G10 Hypothesis testing
62E20 Asymptotic distribution theory
62G09 Resampling methods

Abstract: This article proposes two consistent hypothesis tests of L2-type for weakly dependent observations based on the empirical characteristic function. We consider a symmetry test and a goodness-of-fit test for the marginal distribution of a time series. Since the asymptotic distributions of the test statistics depend on unknown parameters in a complicated way, we suggest to apply certain parametric bootstrap methods in order to determine critical values of the tests.

Keywords: Bootstrap; empirical characteristic function; goodness-of-fit; U-statistics; symmetry test; time series; weak dependence.

Upload: 2010-08-11

Update: 2010 -08 -11


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