Abstract This paper proposes an asymptotically distribution free test for fitting a parametric model to the autoregressive function in the AR(1) model in the presence of measurement error. The test is based on a martingale transform of a certain marked residual empirical process. A simulation study assessing the finite sample level and power performance of the proposed test is also included.

中文翻译：

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参数测量误差 AR(1) 模型的失拟

摘要 本文提出了一种无渐近分布的测试，用于在存在测量误差的情况下将参数模型拟合到 AR(1) 模型中的自回归函数。该测试基于某个标记残差经验过程的马丁格尔变换。还包括评估所提议测试的有限样本水平和功效性能的模拟研究。