Locally most powerful test for the random coefficient autoregressive model

DOI10.1155/2019/6593821MaRDI QIDQ2298686zbMATH OpenOpenAlexWikidataFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3951797 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 1983901 (Why is no real title available?)
• Autoregressive models with mixture of scale mixtures of Gaussian innovations
• Bayesian estimation and unit root tests for random coefficient autoregressive models
• Coefficient constancy test in generalized random coefficient autoregressive model
• Finite Sample Analysis of the First Order Autoregressive Model
• Locally most powerful rank tests for comparison of two failure rates based on multiple type-II censored data
• Maximum likelihood estimation and unit root test for first order Random Coefficient AutoRegressive mode
• Random coefficient autoregressive models: an introduction
• Rank tests for testing the randomness of autoregressive coefficients
• Robust Statistics
• Robust unit root tests with autoregressive errors
• Stability in a Random Coefficient Model
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• Testing the constancy of the thinning parameter in a random coefficient integer autoregressive model
• The Cusum Test for Parameter Change in Time Series Models
• The Lindeberg-Levy Theorem for Martingales
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

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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