On the asymptotic power of the likelihood ratio criterion for testing the hypothesis of nonstationarity of an autoregressive series with Cauchy innovations

DOI10.1023/B:PRIT.0000043931.75717.83MaRDI QIDQ2388484zbMATH OpenOpenAlexFDO

Authors O. V. Gaas

Publication date 14 September 2005

Published in Problems of Information Transmission (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:prit.0000043931.75717.83

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Nonstationary time series with a close alternative hypothesis: Locally asymptotic distribution of the likelihood ratio
• Hypothesis testing for nearly nonstationary autoregressive models
• Testing stationarity and trend stationarity against the unit root hypothesis
• scientific article; zbMATH DE number 4174181
• Diagnostic tests for non-causal time series with infinite variance

Cited in

(4)

• Nonstationary time series with a close alternative hypothesis: Locally asymptotic distribution of the likelihood ratio
• Nonstationarity criterion for a Gaussian autoregression time series under a close alternative
• scientific article; zbMATH DE number 29836 (Why is no real title available?)
• TESTING FOR ZERO AUTOCORRELATION WHEN THE INNOVATIONS BELONG TO THE NORMAL DOMAIN OF ATTRACTION OF A CAUCHY LAW

This page was built for publication: On the asymptotic power of the likelihood ratio criterion for testing the hypothesis of nonstationarity of an autoregressive series with Cauchy innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2388484)