Some Goodness of Fit Tests for Random Sequences
Articles
Yuriy Kozachenko
Taras Shevchenko National University of Kyiv, Ukraine
Tetiana Ianevych
Taras Shevchenko National University of Kyiv, Ukraine
Published 2013-12-20
https://doi.org/10.15388/LJS.2013.13918
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Keywords

goodness of fit test
multivariate random sequence
time series
square Gaussian random variable

How to Cite

Kozachenko Y. and Ianevych T. (2013) “Some Goodness of Fit Tests for Random Sequences”, Lithuanian Journal of Statistics, 52(1), pp. 5-13. doi: 10.15388/LJS.2013.13918.

Abstract

In this paper we had made an attempt to incorporate the results from the theory of square Gaussian random variables in order to construct the goodness of fits test for random sequences (time series). We considered two versions of such tests. The first one was designed for testing the adequacy of the hypotheses on expectation and covariance function of univariate non-centered sequence, the other one was constructed for testing the hypotheses on covariance of the multivariate centered sequence. The simulation results illustrate the behavior of these tests in some particular cases.

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