by A. Leucht
Preprint series: 10-06, Reports on Stochastics and Statistics
Preprint series: , Reports on Stochastics and Statistics
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.
Update: 2010 -08 -11