Contact:Elizna Kruger
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Location: Van der Sterr Building, cnr Bosman & Victoria Street, entrance 5, Room 2053
Joseph Ngatchou-Wandjil: Abstract - We study some general methods for testing the goodness-of-fit of a general nonstationary and dependent nonlinear time series model. Our tests are based on some marked empirical processes that we show to converge in distribution to a zero-mean Gaussian process. We investigate the behavior of these processes under a sequence of local alternatives. Our results are applied to testing a general class of nonlinear semiparametric time series models. A simulationexperiment shows that the Cramér-Mises test studied behaves well on the examples considered.