Author： Fay Gilles Philippe Anne
Publisher： Edp Sciences
E-ISSN： 1262-3318|6|issue|239-258
ISSN： 1292-8100
Source： ESAIM: Probability and Statistics, Vol.6, Iss.issue, 2010-03, pp. : 239-258
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Abstract
In this paper, we make use of the information measure introducedby Mokkadem (1997) for building a goodness-of-fit test forlong-range dependent processes.Our test statistic is performed in the frequency domain and writes asa non linear functional of the normalized periodogram. We establishthe asymptotic distribution of our statistic under the nullhypothesis. Under specific alternative hypotheses, we prove that the powerconverges to one. The performance of our test procedure isillustrated from different simulated series. In particular,we compare its size and its power with test of Chenand Deo.
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