Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2019, Number 6, Pages 58–61 (Mi vmumm3643)  

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Local power of Kolmogorovs and omega-squared type criteria in autoregression

M. V. Boldin


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 $\omega^2$ type are constructed for testing hypotheses on the distribution of innovations. The asymptotic power of these tests under local alternatives is obtained.

Key words: autoregression, residuals, empirical distribution function, Kolmogorov's and omega-square tests, local alternatives.

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English version:
Moscow University Mathematics Bulletin, 2019, 74:6, 249–252

Bibliographic databases:

UDC: 519.24
Received: 13.03.2019

Citation: M. V. Boldin, “Local power of Kolmogorovs and omega-squared type criteria in autoregression”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2019, no. 6, 58–61; Moscow University Mathematics Bulletin, 74:6 (2019), 249–252

Citation in format AMSBIB
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\by M.~V.~Boldin
\paper Local power of Kolmogorovs and omega-squared type criteria in autoregression
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2019
\issue 6
\pages 58--61
\mathnet{http://mi.mathnet.ru/vmumm3643}
\transl
\jour Moscow University Mathematics Bulletin
\yr 2019
\vol 74
\issue 6
\pages 249--252
\crossref{https://doi.org/10.3103/S002713221906007X}
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