Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation

DOI10.1016/0898-1221(91)90238-YMaRDI QIDQ2638701zbMATH OpenFDO

Authors János Kormos

Publication date 1991

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(91)90238-Y

zbMATH Keywords

first-order autoregressive modelGaussian autoregressive innovationGaussian white noisegeneralized random walklikelihood ratio statisticnearly nonstationary AR(1) model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Let \(x_ n\) be generated by the following first-order (generalized) autoregressive (AR) equation with AR residuals: \[ x_ n+ax_{n- 1}=\epsilon_ n,\quad | a| \leq 1, \] \[ where\quad \epsilon_ n+c_ 1\epsilon_{n-1}+...+c_ p\epsilon_{n-p}=w_ n, \] and where \(w_ n\) is a Gaussian white noise. The goal of the paper is to construct and study the likelihood ratio statistic for testing the null hypothesis \(H_ 0:\) \(a=-1\) against the alternative hypothesis \(H_ A:\) \(a=- 1+\lambda /N\) (\(\lambda\neq 0)\). (Here N denotes the number of available samples). In other words, the purpose is to test whether \(\{x_ n\}\) is a (generalized) random walk.

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Cites work

• A functional central limit theorem for weakly dependent sequences of random variables
• Asymptotic inference for nearly nonstationary AR(1) processes
• Fixed accuracy estimation of an autoregressive parameter
• scientific article; zbMATH DE number 1348628 (Why is no real title available?)
• Hypothesis testing for nearly nonstationary autoregressive models
• Linear stochastic systems with constant coefficients. A statistical approach
• Time Series Regression with a Unit Root

Cited in

(7)

• Nearly unstable multidimensional AR processes
• Parameter estimation for nearly nonstationary AR(1) processes
• scientific article; zbMATH DE number 4174181 (Why is no real title available?)
• Nonstationarity criterion for a Gaussian autoregression time series under a close alternative
• Stationarity test based on density approach
• Stochastic stability for linear autoregressive model with Gaussian innovations
• Hypothesis testing for nearly nonstationary autoregressive models

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