Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence

DOI10.1016/S0378-3758(97)00135-3zbMath0942.62099OpenAlexW1975259287MaRDI QIDQ1299532

Youssef Benghabrit, Marc Hallin

Publication date: 21 August 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(97)00135-3

zbMATH Keywords

local asymptotic normalitybispectrumtimes seriesbilinear models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (14)

Optimal rank-based detection of exponential component in autoregressive models ⋮ Efficient estimation in periodic INAR(1) model: parametric case ⋮ Aligned signed-rank tests of a linear autoregressive model against an exponential autoregressive one ⋮ Optimal Detection of Exponential Component in Autoregressive Models ⋮ A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection ⋮ Efficient estimation in semiparametric self-exciting threshold INAR processes ⋮ Efficient detection of random coefficients in autoregressive models ⋮ R-estimation in semiparametric dynamic location-scale models ⋮ Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model ⋮ Checking nonlinear heteroscedastic time series models ⋮ Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes ⋮ Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold ⋮ Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models ⋮ Local asymptotic normality for regression models with long-memory disturbance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An introduction to bispectral analysis and bilinear time series models
• Bilinear Markovian representation and bilinear models
• Asymptotic methods in statistical decision theory
• Current developments in time series modelling
• Power of the Lagrange multiplier test for certain subdiagonal bilinear models
• On the invertibility of time series models
• The mixing property of bilinear and generalised random coefficient autoregressive models
• On adaptive estimation in stationary ARMA processes
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• A Tukey nonadditivity-type test for time series nonlinearity
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS
• On the first-order bilinear time series model
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
• A nonparametric test of serial independence based on the empirical distribution function
• Nonparametric statistics for testing of linearity and serial independence
• Rank-based tests for autoregressive against bilinear serial dependence
• Nonparametric tests of linearity for time series

This page was built for publication: Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence