Testing a time series for difference stationarity

DOI10.1214/aos/1176324634zbMath0838.62082OpenAlexW2025662344MaRDI QIDQ1906199

A. R. Tremayne, B. P. M. McCabe

Publication date: 8 February 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324634

zbMATH Keywords

weak convergencesimulationGaussianityautoregressive modeldifference stationaritylocally best invariant testrandom coefficientmixture of Brownian motions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

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