A quasi-locally most powerful test for correlation in the conditional variance of positive data

DOI10.1111/J.1467-842X.2010.00596.XzbMATH Open1336.62063OpenAlexW2146414774MaRDI QIDQ2802749FDOQ2802749

Authors: Gael M. Martin, Keith Freeland, Brendan McCabe 

Publication date: 27 April 2016

Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2010.00596.x

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zbMATH Keywords

quasi-likelihoodWeibull distributiongamma distributionasymptotic relative efficiencylocally most powerful testdurations data

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• A Beta-Gamma autoregressive process of the second-order (BGAR(2))

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