Volume 17, 2013
|Page(s)||432 - 443|
|Published online||21 May 2013|
Goodness-of-fit tests in long-range dependent processes under fixed alternatives
Received: 13 December 2010
Revised: 17 October 2011
In a recent paper Fay and Philippe [ESAIM: PS 6 (2002) 239–258] proposed a goodness-of-fit test for long-range dependent processes which uses the logarithmic contrast as information measure. These authors established asymptotic normality under the null hypothesis and local alternatives. In the present note we extend these results and show that the corresponding test statistic is also normally distributed under fixed alternatives.
Mathematics Subject Classification: 60F05 / 62F03
Key words: Long-range dependence / goodness-of-fit test / asymptotic power / periodogram
© EDP Sciences, SMAI, 2013
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