Asymptotic properties of some tests for autocorrelation

DOI10.1080/02331888608801910zbMath0587.62166MaRDI QIDQ3713444

Pentti Saikkonen

Publication date: 1986

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888608801910

zbMATH Keywords

frequency domain; likelihood ratio test; Gaussian process; time domain; spectrum; local alternatives; Lagrange multiplier test; efficient score test; tests for autocorrelation

Mathematics Subject Classification ID

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

62M07: Non-Markovian processes: hypothesis testing

62F05: Asymptotic properties of parametric tests

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Dependent versions of a central limit theorem for the squared length of a sample mean, ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS

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