Testing a linear time series model against its threshold extension

DOI10.1093/BIOMET/ASQ074MaRDI QIDQ3168782zbMATH OpenOpenAlexFDO

Authors Guodong Li, Wai Keung Li

Publication date 19 April 2011

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asq074

zbMATH Keywords

autoregressive moving average modelbootstrap methodquasilikelihood ratio testthreshold model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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