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Power divergence family of tests for categorical time series models

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>09/2002
<mark>Journal</mark>Annals of the Institute of Statistical Mathematics
Issue number3
Volume54
Number of pages22
Pages (from-to)543-564
Publication statusPublished
Original languageEnglish

Abstract

A fundamental issue that arises after fitting a regression model is that of testing the goodness of the fit. Our work brings together the power divergence family of goodness of fit tests and regression models for categorical time series. We show that under some reasonable assumptions, the asymptotic distribution of the power divergence family of goodness of fit tests converges to a normal random variable. This fact introduces a novel method for carrying out goodness of fit tests about a regression model for categorical time series. We couple the theory with some empirical results.