Prequential omnibus goodness-of-fit tests for stochastic processes: A numerical study

ABSTRACT

This article is a contribution to the study of an omnibus goodness-of-fit (Gof) test based on Rosenblatt Probability Integral Transform (RPIT) within Dawid's prequential framework. This Gof test is easy to use since it has a common test statistic (with apparently the same asymptotic distribution) for a wide range of stochastic models. Intensive Monte-Carlo simulations are presented to investigate the behavior of this test for several stochastic models: renewal, autoregressive (AR, ARMA, ARCH, GARCH) and Poisson processes, generalized linear models... These simulations suggest that the RPIT test could be used to test the fit of a wide range of stochastic models but it may be not powerful when compared to Gof tests specifically designed for the tested processes. It is also conjectured that this test is still appropriate for testing the Gof of any discrete-time stochastic process provided that efficient estimators are used.

KEYWORDS:

• Model Checking
• Predictive performance
• Prequential Efficiency
• Rosenblatt Transform
• Sequential Inference
• Universal Goodness-of-fit Test

MATHEMATICS SUBJECT CLASSIFICATION:

• 62F03
• 62L12
• 62J20