Efficient detection of random coefficients in autoregressive models

DOI10.1214/aos/1051027885zbMath1039.62081OpenAlexW2093959759MaRDI QIDQ1429321

Abdelhadi Akharif, Marc Hallin

Publication date: 18 May 2004

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

Full work available at URL: https://doi.org/10.1214/aos/1051027885

zbMATH Keywords

local asymptotic normalityrandom coefficient autoregressive modelsone-sided multiparameter alternativesone-sided multiparameter tests

Mathematics Subject Classification ID

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

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