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

DOI10.1016/S0167-7152(97)00166-1MaRDI QIDQ449924zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3852087 (Why is no real title available?)
• scientific article; zbMATH DE number 125641 (Why is no real title available?)
• An Optimum Property of Regular Maximum Likelihood Estimation
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Estimation in nonlinear time series models
• Nonparametric estimation for some nonlinear models
• Quasi-likelihood estimation for semimartingales
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• The foundations of finite sample estimation in stochastic processes

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(2)

• Testing normality in the time series of EMP indices: an application and power-comparison of alternative tests
• scientific article; zbMATH DE number 125641 (Why is no real title available?)

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