Optimal tests in AR (m) time series model

DOI10.1080/03610918.2015.1009999zbMath1362.62173OpenAlexW1492206537MaRDI QIDQ2974959

Lounis Tewfik

Publication date: 11 April 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1009999

zbMATH Keywords

local asymptotic normalityARCH modelscontiguityoptimal teststime series modelmodified estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors

This page was built for publication: Optimal tests in AR (m) time series model