Sankhya: The Indian Journal of Statistics1993, Volume 55, Series A, Pt. 3, 357--369
THE MODIFIED CRAMÉR-VON MISES GOODNESS-OF-FIT CRITERION FOR TIME SERIES
T. W. ANDERSON, Stanford University, U. S. A
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
This article in Mathematical Reviews.