Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis

DOI10.1007/s13571-019-00209-7zbMath1476.62177MaRDI QIDQ2061745

Nabil Azouagh, Said El Melhaoui

Publication date: 21 December 2021

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-019-00209-7

zbMATH Keywords

nuisance parameter; LAN property; nonlinearity tests; AR-sieve bootstrap; exponential autoregressive models; pseudo-Gaussian methods

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F40: Bootstrap, jackknife and other resampling methods

62F05: Asymptotic properties of parametric tests

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Aligned signed-rank tests of a linear autoregressive model against an exponential autoregressive one

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