Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative

DOI10.1214/aos/1176350701zbMath0662.62098OpenAlexW1986446727MaRDI QIDQ1113597

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1214/aos/1176350701

zbMATH Keywords

integral equation characteristic function invariance principle Fredholm determinant random walk Bessel function locally best invariant test asymptotic null distribution normality assumptions alternative regression model quadratic functional of Brownian motion testing time constancy of regression parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50) Asymptotic properties of parametric tests (62F05)

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