Hypothesis testing for some time-series models: a power comparison

DOI10.1016/S0167-7152(97)00166-1zbMATH Open1246.62190OpenAlexW1970104907MaRDI QIDQ449924FDOQ449924

Authors: A. Thavaneswaran, Shelton Peiris 

Publication date: 2 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(97)00166-1

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zbMATH Keywords

nonlinearestimating functionautoregressionrandom coefficientstest statisticsoptimal power

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• An Optimum Property of Regular Maximum Likelihood Estimation
• Title not available (Why is that?)
• Quasi-likelihood estimation for semimartingales
• Estimation in nonlinear time series models
• The foundations of finite sample estimation in stochastic processes
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• Nonparametric estimation for some nonlinear models
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Title not available (Why is that?)

Cited In (2)

• Testing normality in the time series of EMP indices: an application and power-comparison of alternative tests
• Title not available (Why is that?)

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