On stochastic expansions of empirical distribution function of residuals in autoregression schemes
share
We consider a stationary linear AR(p) model with unknown mean. The autoregression parameters as well as the distribution function (d.f.) G of innovations are unknown. The observations contain gross errors (outliers). The distribution of outliers is unknown and arbitrary, their intensity is γ n^-1/2 with an unknown γ, n is the sample size. The assential problem in such situation is to test the normality of innovations. Normality, as is known, ensures the optimality properties of widely used least squares procedures. To construct and study a Pearson chi-square type test for normality we estimate the unknown mean and the autoregression parameters. Then, using the estimates, we find the residuals in the autoregression. Based on them, we construct a kind of empirical distribution function (r.e.d.f.) , which is a counterpart of the (inaccessible) e.d.f. of the autoregression innovations. Our Pearson's satatistic is the functional from r.e.d.f. Its asymptotic distributions under the hypothesis and the local alternatives are determined by the asymptotic behavior of r.e.d.f. In the present work, we find and substantiate in details the stochastic expansions of the r.e.d.f. in two situations. In the first one d.f. G (x) of innovations does not depend on n. We need this result to investigate test statistic under the hypothesis. In the second situation G (x) depends on n and has the form of a mixture G (x) = A_n (x) = (1-n ^ - 1/2) G_0 (x) + n ^ -1/2 H (x). We need this result to study the power of test under the local alternatives.
READ FULL TEXT
