Testing stationarity in the mean of autoregressive processes with a nonparametric regression trend

DOI10.1214/AOS/1176348776zbMath0781.62140OpenAlexW1992461244MaRDI QIDQ1206714

Hartmut Milbrodt

Publication date: 1 April 1993

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

Full work available at URL: https://doi.org/10.1214/aos/1176348776

zbMATH Keywords

functional central limit theoremlocal asymptotic normalitysimulation studynonparametric regressiongoodness of fit testasymptotic powerempirical distributionKolmogorov-Smirnovarbitrary trend alternativesCramer-von Mises type tests of stationarityhypothetical distributionlikelihood ratio processesmean of autoregressive time seriestest of stationarity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

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