A problem of testing hypotheses on parameters of a generalized moving-average process

DOI10.1515/DMA.1993.3.5.483MaRDI QIDQ4303900zbMATH OpenOpenAlexFDO

Authors G. V. Proskurin

Publication date 20 September 1994

Published in Discrete Mathematics and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/dma.1993.3.5.483

zbMATH Keywords

generalized moving-average processlikelihood ratio statisticlimit distributionlinear Boolean functionlognormal distributionsimple hypothesis

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Testing the hypothesis on the ``drift of parameters in the moving average model

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