Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold

DOI10.1080/03610926.2013.853788MaRDI QIDQ2807735zbMATH OpenOpenAlexFDO

Authors M. Merzougui

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.853788

zbMATH Keywords

local asymptotic normalitylocal asymptotic ``most stringent testperiodic autoregressiveperiodic self-exciting threshold autoregressive

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3258670 (Why is no real title available?)
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• Aligned rank tests for linear models with autocorrelated error terms
• Asymptotic distribution of the log-likelihood function for stochastic processes
• Efficient estimation in nonlinear autoregressive time-series models
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Nonlinear modelling of periodic threshold autoregressions using Tsmars
• On adaptive estimation in stationary ARMA processes
• Testing for threshold autoregression
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

Cited in

(3)

• Adaptive test for periodicity in self-exciting threshold autoregressive models
• Test for periodicity in restrictive EXPAR models
• Local asymptotic normality for a periodically time varying long memory parameter

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