A NEW TEST FOR NORMALITY IN LINEAR AUTOREGRESSIVE MODELS

(整期优先)网络出版时间:2002-04-14
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Anonparametrictestfornormalityoflinearautoregressivetimeseriesisproposedinthispaper.Thetestisbasedonthebestone-stepforecastinmeansquarewithtimereverse.Someasymptotictheoryisdevelopedforthetest,anditisshownthatthetestiseasytouseandhasgoodpowers.Theempiricalpercentagepointstoconductthetestinpracticeareprovidedandthreeexamplesusingrealdataareincluded.