AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
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Publication:3776447
DOI10.1111/j.1467-9892.1988.tb00455.xzbMath0636.62095OpenAlexW2073889917MaRDI QIDQ3776447
Publication date: 1988
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00455.x
algorithmsKalman filtertime series regressionregression coefficientmost powerful invariant testexact small-sample testmean- and scale-invariantwalk process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
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