Title: Model Diagnostics via Martingale Transforms: A Brief Review
Abstract:Frontiers in Statistics, pp. 183-206 (2006) No AccessModel Diagnostics via Martingale Transforms: A Brief ReviewHira L. KoulHira L. KoulDepartment of Statistics and Probability, Michigan State Univers...Frontiers in Statistics, pp. 183-206 (2006) No AccessModel Diagnostics via Martingale Transforms: A Brief ReviewHira L. KoulHira L. KoulDepartment of Statistics and Probability, Michigan State University, East Lansing, MI 48824, USAhttps://doi.org/10.1142/9781860948886_0009Cited by:5 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Abstract: This chapter gives a brief review of asymptotically distribution free tests of goodness-of-fit hypothesis of an error distribution based on certain residual empirical processes in regression and some generalized conditionally heteroscedastic time series models. We also discuss tests of lack-of-fit hypothesis of a parametric regression or a parametric time series model based on partial sum processes of residuals. The underlying theme is that all of these tests can be based on certain martingale transforms of these processes initiated by Khmaladze. FiguresReferencesRelatedDetailsCited By 5Professor Hira Lal Koul's Contribution to StatisticsSoumendra Lahiri, Anton Schick, Ashis SenGupta and T.N. Sriram3 December 2013A COMPARISON OF ALTERNATIVE APPROACHES TO SUPREMUM-NORM GOODNESS-OF-FIT TESTS WITH ESTIMATED PARAMETERSThomas Parker21 February 2013 | Econometric Theory, Vol. 29, No. 5The transfer principle: A tool for complete case analysisHira L. Koul, Ursula U. Müller and Anton Schick1 Dec 2012 | The Annals of Statistics, Vol. 40, No. 6A Comparison of Alternative Approaches to Supremum-Norm Goodness of Fit Tests with Estimated ParametersThomas Parker1 Jan 2012 | SSRN Electronic Journal, Vol. 38Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testingH. Dette and B. Hetzler1 July 2009 | Mathematical Methods of Statistics, Vol. 18, No. 2 Frontiers in StatisticsMetrics Downloaded 6 times History PDF downloadRead More
Publication Year: 2006
Publication Date: 2006-07-01
Language: en
Type: review
Indexed In: ['crossref']
Access and Citation
Cited By Count: 15
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