Explicit and exponential bounds for a test on the coefficient of an AR(1) model

DOI10.1016/0167-7152(94)00243-9MaRDI QIDQ1907933zbMATH OpenOpenAlexFDO

Authors Bruno Massé, Marie-Claude Viano

Publication date 20 May 1996

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(94)00243-9

zbMATH Keywords

powerconditional distributionsexponential boundsAR(1) modelcritical levelcritical powerfirst-order autoregressive processexponential separating ratesymmetric innovation distributionsymmetrical distributed noisetesting correlation coefficients

Mathematics Subject Classification ID

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

Recommendations

• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• Optimal rank-based detection of exponential component in autoregressive models
• Efficient detection of random coefficients in autoregressive models
• On nonparametric sign procedures for autoregression models
• Likelihood analysis of a first‐order autoregressive model with exponential innovations

Cites work

• scientific article; zbMATH DE number 3557001 (Why is no real title available?)
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• Probability Inequalities for Sums of Bounded Random Variables

Cited in

(1)

• A Decision Procedure for Bilinear Time Series Based on the Asymptotic Separation

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