The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

DOI10.1016/0047-259X(85)90051-XzbMath0563.62065MaRDI QIDQ1057607

Publication date: 1985

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(85)90051-x

zbMATH Keywords

likelihood ratio; local asymptotic normality; power; white noise; Durbin-Watson statistic; stationary autoregressive process; local first order autoregressive alternatives; regression trend; test for positive dependence

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

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

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

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