An omnibus test for departures from constant mean

DOI10.1214/aos/1176347753zbMath0706.62046OpenAlexW2031285093MaRDI QIDQ918601

J. A. Hartigan, Daniel Barry

Publication date: 1990

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347753

zbMATH Keywords

likelihood ratio testBrownian motionmaximum likelihoodnonparametric regressionARIMA modelB-statisticfinite sample size behaviornonstandard likelihood asymptoticsratio of error variance to Brownian motion variancetests for constant mean

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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