Testing stationarity in the mean of autoregressive processes with a nonparametric regression trend
DOI10.1214/aos/1176348776zbMath0781.62140MaRDI QIDQ1206714
Publication date: 1 April 1993
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176348776
functional central limit theorem; local asymptotic normality; simulation study; nonparametric regression; goodness of fit test; asymptotic power; empirical distribution; Kolmogorov-Smirnov; arbitrary trend alternatives; Cramer-von Mises type tests of stationarity; hypothetical distribution; likelihood ratio processes; mean of autoregressive time series; test of stationarity
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F17: Functional limit theorems; invariance principles
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