Locally most powerful test for the random coefficient autoregressive model

DOI10.1155/2019/6593821zbMath1435.62079OpenAlexW2953789651WikidataQ127611735 ScholiaQ127611735MaRDI QIDQ2298686

Kai Yang, Feilong Lu, De-Hui Wang, Li Bi

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/6593821

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximum likelihood estimation and unit root test for first order Random Coefficient AutoRegressive mode
• Autoregressive models with mixture of scale mixtures of Gaussian innovations
• Random coefficient autoregressive models: an introduction
• Rank tests for testing the randomness of autoregressive coefficients
• Testing the constancy of the thinning parameter in a random coefficient integer autoregressive model
• Coefficient constancy test in generalized random coefficient autoregressive model
• Robust unit root tests with autoregressive errors
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Finite Sample Analysis of the First Order Autoregressive Model
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• Stability in a Random Coefficient Model
• The Cusum Test for Parameter Change in Time Series Models
• Locally Most Powerful Rank Tests for Comparison of Two Failure Rates Based on Multiple Type-II Censored Data
• The Lindeberg-Levy Theorem for Martingales
• Robust Statistics

This page was built for publication: Locally most powerful test for the random coefficient autoregressive model