Explicit and exponential bounds for a test on the coefficient of an AR(1) model

DOI10.1016/0167-7152(94)00243-9zbMath0837.62069OpenAlexW2043466191MaRDI QIDQ1907933

Bruno Massé, Marie-Claude Viano

Publication date: 20 May 1996

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

Full work available at URL: https://doi.org/10.1016/0167-7152(94)00243-9

zbMATH Keywords

powerexponential boundsconditional distributionscritical powerAR(1) modelcritical levelfirst-order autoregressive processexponential separating ratesymmetric innovation distributionsymmetrical distributed noisetesting correlation coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

A Decision Procedure for Bilinear Time Series Based on the Asymptotic Separation

Cites Work

• Unnamed Item
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• Probability Inequalities for Sums of Bounded Random Variables

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