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Distribution Free Goodness-of-Fit Tests for Linear Processes [PDF]

open access: yes
This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence.
Carlos Velasco   +2 more
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Shrinkage Based Tests of the Martingale Difference Hypothesis [PDF]

open access: yes
In this paper we define a family of tests for the Martingale Difference Hypothesis (MDH) based upon a shrinkage principle. Tests within this family are such that rejection of the null implies that forecasts from the alternative model, adjusted by a ...
Pablo Pincheira
core  

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