Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models
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Publication:3652716
DOI10.1080/03610910903108492zbMath1396.62193MaRDI QIDQ3652716
M. Merzougui, Mohamed Bentarzi
Publication date: 16 December 2009
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910903108492
local asymptotic normality; periodically correlated process; adaptive test; local asymptotic ``most stringent test; periodic self-exciting threshold autoregressive; Swensen's conditions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
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