Nonstationary time series with a close alternative hypothesis: Locally asymptotic distribution of the likelihood ratio

zbMath0946.62082MaRDI QIDQ1567744

K. A. Ol'shanskij, Patrick Boulongne, Vladimir I. Piterbarg

Publication date: 26 June 2000

Published in: Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

unit rootautoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

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