Slowly Decaying Correlations, Testing Normality, Nuisance Parameters
缓慢衰减相关下的正态性检验与干扰参数
Slowly decaying serial correlations can cause goodness-of-fit tests for a distribution to reject the null hypothesis with probability tending to one with increasing sample size. When the null distribution is completely specified (simple null hypothesis) the problem is actually worse than for the case where there are nuisance parameters to be estimated (composite null hypothesis). In particular, we consider here testing normality. We discuss limit theorems and propose…