Testing a time series for difference stationarity
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Publication:1906199
DOI10.1214/aos/1176324634zbMath0838.62082MaRDI QIDQ1906199
A. R. Tremayne, B. P. M. McCabe
Publication date: 8 February 1996
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176324634
weak convergence; simulation; Gaussianity; autoregressive model; difference stationarity; locally best invariant test; random coefficient; mixture of Brownian motions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
62F05: Asymptotic properties of parametric tests
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