Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis
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Publication:2061745
DOI10.1007/s13571-019-00209-7zbMath1476.62177MaRDI QIDQ2061745
Nabil Azouagh, Said El Melhaoui
Publication date: 21 December 2021
Published in: Sankhyā. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13571-019-00209-7
nuisance parameter; LAN property; nonlinearity tests; AR-sieve bootstrap; exponential autoregressive models; pseudo-Gaussian methods
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F40: Bootstrap, jackknife and other resampling methods
62F05: Asymptotic properties of parametric tests