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

DOI10.1016/0047-259X(85)90051-XzbMath0563.62065OpenAlexW2019866982MaRDI QIDQ1057607

Anders Rygh Swensen

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 ratiolocal asymptotic normalitypowerwhite noiseDurbin-Watson statisticstationary autoregressive processlocal first order autoregressive alternativesregression trendtest for positive dependence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

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