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Local Power of Kolmogorov’s and Omega-Squared Type Criteria in Autoregression

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Abstract

A stationary AR(p) model is considered. The autoregression parameters are unknown as well as the distribution of innovations. Based on the residuals from the parametric estimates, an analog of the empirical distribution function is defined and tests of Kolmogorov’s and ω2 type are constructed for testing hypotheses on the distribution of innovations. The asymptotic power of these tests under local alternatives is obtained.

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References

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Authors and Affiliations

  1. Faculty of Mechanics and Mathematics, Moscow State University, Leninskie Gory, Moscow, 119991, Russia

    M. V. Boldin

Authors
  1. M. V. Boldin
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Correspondence to M. V. Boldin.

Additional information

Russian Text © The Author(s), 2019, published in Vestnik Moskovskogo Universiteta, Matematika. Mekhanika, 2019, Vol. 74, No. 6, pp. 58–61.

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Boldin, M.V. Local Power of Kolmogorov’s and Omega-Squared Type Criteria in Autoregression. Moscow Univ. Math. Bull. 74, 249–252 (2019). https://doi.org/10.3103/S002713221906007X

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  • DOI: https://doi.org/10.3103/S002713221906007X

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