Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models

DOI10.1080/03610910903108492zbMath1396.62193MaRDI QIDQ3652716

Mohamed Bentarzi, M. Merzougui

Publication date: 16 December 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910903108492

zbMATH Keywords

local asymptotic normality; periodically correlated process; adaptive test; local asymptotic ``most stringent test; periodic self-exciting threshold autoregressive; Swensen's conditions

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62F03: Parametric hypothesis testing

Cites Work

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