Rank tests for testing the randomness of autoregressive coefficients

DOI10.1016/0167-7152(94)90218-6zbMath0818.62046OpenAlexW1993184216MaRDI QIDQ1336895

T. V. Ramanathan, M. B. Rajarshi

Publication date: 6 November 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90218-6

zbMATH Keywords

weak convergenceasymptotic normalityrank testsasymptotic relative efficiencyasymptotically distribution freerandom coefficient autoregressive modelrandomly weighted residual empirical processtesting randomness of regression coefficients

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items (7)

Coefficient constancy test in AR-ARCH models ⋮ Efficient detection of random coefficients in autoregressive models ⋮ Testing for randomness in a random coefficient autoregression model ⋮ Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity ⋮ Locally most powerful test for the random coefficient autoregressive model ⋮ Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process ⋮ Coefficient constancy test in a random coefficient autoregressive model

Cites Work

• Multiple autoregressive models with random coefficients
• Rank tests for testing randomness of a regression coefficient in a linear regression model
• A weak convergence result useful in robust autoregression
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Asymptotic Behavior of Wilcoxon Type Confidence Regions in Multiple Linear Regression
• Some Convergence Theorems for Ranks and Weighted Empirical Cumulatives
• Weak Convergence of Weighted Empirical Cumulatives Based on Ranks
• Contiguity of Probability Measures
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