Locally most powerful test for the random coefficient autoregressive model

DOI10.1155/2019/6593821zbMATH Open1435.62079OpenAlexW2953789651WikidataQ127611735 ScholiaQ127611735MaRDI QIDQ2298686FDOQ2298686

Authors: Li Bi, Feilong Lu, Kai Yang, Dehui Wang 

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/6593821

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Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• The Lindeberg-Levy Theorem for Martingales
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• Testing the constancy of the thinning parameter in a random coefficient integer autoregressive model
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• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• Stability in a Random Coefficient Model
• Maximum likelihood estimation and unit root test for first order Random Coefficient AutoRegressive mode
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• Autoregressive models with mixture of scale mixtures of Gaussian innovations
• Coefficient constancy test in generalized random coefficient autoregressive model
• Rank tests for testing the randomness of autoregressive coefficients
• Finite Sample Analysis of the First Order Autoregressive Model
• Robust unit root tests with autoregressive errors
• Bayesian estimation and unit root tests for random coefficient autoregressive models
• Locally most powerful rank tests for comparison of two failure rates based on multiple type-II censored data

Cited In (2)

• On the power of Pearson's test under local alternatives in autoregression with outliers
• Efficient detection of random coefficients in autoregressive models

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