Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models

DOI10.1080/03610910903108492zbMath1396.62193OpenAlexW2089397051MaRDI QIDQ3652716

M. Merzougui, Mohamed Bentarzi

Publication date: 16 December 2009

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

Full work available at URL: https://doi.org/10.1080/03610910903108492

zbMATH Keywords

local asymptotic normalityperiodically correlated processadaptive testlocal asymptotic ``most stringent testperiodic self-exciting threshold autoregressiveSwensen's conditions

Mathematics Subject Classification ID

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

Related Items (1)

Efficient estimation in semiparametric self-exciting threshold INAR processes

Cites Work

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• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• Asymptotic distribution of the log-likelihood function for stochastic processes
• Nonlinear modelling of periodic threshold autoregressions using Tsmars

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