Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative (Q1113597)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative |
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Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative (English)
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1988
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The paper deals with testing time constancy of regression parameters against the alternative that one of the parameters follows a random walk model. The locally best invariant test under normality assumptions is derived. The main parts are concerned with the derivation of the asymptotic null distribution of the test statistic. Its characteristic function is obtained from the Fredholm determinant associated with a certain integral equation, and the limiting distribution is computed by numerical inversion.
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quadratic functional of Brownian motion
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Bessel function
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invariance principle
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random walk
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alternative regression model
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testing time constancy of regression parameters
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locally best invariant test
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normality assumptions
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asymptotic null distribution
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characteristic function
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Fredholm determinant
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integral equation
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