an:06695475
Zbl 1360.62440
Ianevych, Tetiana O.; Kozachenko, Yuriy V.; Troshki, Viktor B.
Goodness-of-fit tests for random sequences incorporating several components
EN
Random Oper. Stoch. Equ. 25, No. 1, 1-10 (2017).
00364246
2017
j
62M07 60G15 60G10 62M10
goodness-of-fit test; random sequence; estimators; asymptotic properties; square Gaussian random variable; expectation; covariance function; time series
Summary: In this paper we have constructed the goodness-of-fit tests incorporating several components, like expectation and covariance function for identification of a non-centered univariate random sequence or auto-covariances and cross-covariances for identification of a centered multivariate random sequence. For the construction of the corresponding estimators and investigation of their properties we utilized the theory of square Gaussian random variables.