Sankhya: The Indian Journal of Statistics

1993, Volume 55, Series A, Pt. 3, 357--369

THE MODIFIED CRAMÉR-VON MISES GOODNESS-OF-FIT CRITERION FOR TIME SERIES

By

T. W. ANDERSON, Stanford University, U. S. A

And

M. A. STEPHENS, Simon Fraser University, Canada

 

SUMMARY. The general theory of finding the distribution of a quadratic integral of a continuous time Gaussian stochastic process with a given covariance function has been sketched with reference to the Cramer-Von Mises criterion to test for a given probability distribution. The result is employed to provide tests for the MA(1) and AR(1) processes and the corresponding distributions of test statistics.

Subject classification. 62M10

FULL PAPER.

This article in Mathematical Reviews.