The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

DOI10.1016/0047-259X(85)90051-XzbMath0563.62065OpenAlexW2019866982MaRDI QIDQ1057607

Anders Rygh Swensen

Publication date: 1985

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(85)90051-x

zbMATH Keywords

likelihood ratiolocal asymptotic normalitypowerwhite noiseDurbin-Watson statisticstationary autoregressive processlocal first order autoregressive alternativesregression trendtest for positive dependence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (50)

Adaptive R-Estimation in Autoregressions ⋮ On local asymptotic normality for functional autoregressive processes ⋮ Local asymptotic normality of Hilbertian autoregressive processes ⋮ STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS ⋮ Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity ⋮ Local asymptotic normality for multivariate nonlinear AR processes ⋮ Affine-invariant rank tests for multivariate independence in independent component models ⋮ Local asymptotic normality for long-memory process with strong mixing noises ⋮ Local asymptotic normality for a periodically time varying long memory parameter ⋮ Efficient estimation in a semiparametric additive regression model with autoregressive errors ⋮ Adaptive test for periodicity in restrictive EXPAR(p) models ⋮ Optimal rank-based tests for block exogeneity in vector autoregressions ⋮ Likelihood Ratio Processes under Nonstandard Settings ⋮ LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS ⋮ Optimal Detection of Exponential Component in Autoregressive Models ⋮ Efficient pseudo-Gaussian and rank-based detection of random regression coefficients ⋮ A class of optimal tests for symmetry based on local Edgeworth approximations ⋮ Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression ⋮ Models for circular data from time series spectra ⋮ Efficient detection of random coefficients in autoregressive models ⋮ LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE ⋮ Regression with autoregressive errors-some asymptotic results ⋮ Optimal rank-based tests against first-order superdiagonal bilinear dependence ⋮ Semiparametric efficient adaptive estimation of the GJR-GARCH model ⋮ Pseudo-Gaussian and rank-based optimal tests for random individual effects in large \(n\) small \(T\) panels ⋮ Adaptive estimation in time series regression models ⋮ Unnamed Item ⋮ Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model ⋮ A likelihood based estimator for vector autoregressive processes ⋮ On the singularity of multivariate skew-symmetric models ⋮ Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors ⋮ Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes ⋮ Asymptotic optimal inference for a class of nonlinear time series models ⋮ Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold ⋮ Test for periodicity in restrictive EXPAR models ⋮ ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES ⋮ Local asymptotic normality for autoregression with infinite order ⋮ Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis ⋮ Optimal detection of Fechner-asymmetry ⋮ Le Cam optimal tests for symmetry against Ferreira and Steel's general skewed distributions ⋮ Optimal tests for autoregressive models based on autoregression rank scores ⋮ Adaptive Estimation of Causal Periodic Autoregressive Model ⋮ Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models ⋮ Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes ⋮ Local asymptotic normality for regression models with long-memory disturbance ⋮ Optimal tests for multivariate location based on interdirections and pseudo-Mahalanobis ranks. ⋮ Optimal tests for random effects in linear mixed models ⋮ LAN theorem for non-Gaussian locally stationary processes and its applications ⋮ Local asymptotic normality for multivariate linear processes ⋮ Robust parameter estimation for the Ornstein-Uhlenbeck process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of vector Armax models
• Dependent central limit theorems and invariance principles
• Asymptotic distribution of the likelihood function in the independent not identically distributed case
• Local Asymptotic Normality for Non-Identically Distributed Observations
• Asymptotic distribution of the log-likelihood function for stochastic processes
• Estimation of Parameters of a Spectral Density with Fixed Zeroes
• On weak convergence to Brownian motion
• Asymptotic inference in stationary Gaussian time-series
• On the Standard Asymptotic Confidence Ellipsoids of Wald
• Contiguity of Probability Measures
• The Lindeberg-Levy Theorem for Martingales
• A characterization of limiting distributions of regular estimates
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

This page was built for publication: The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend