Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity

DOI10.1016/S0167-7152(00)00234-0zbMath0983.62060MaRDI QIDQ5951991

Ishwar V. Basawa, Sun Young Hwang

Publication date: 25 April 2002

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

zbMATH Keywords

local asymptotic normalitycontiguityautoregressive processesnonlinear time seriesefficient teststest of linearity

Mathematics Subject Classification ID

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

Related Items (5)

Local asymptotic normality for long-memory process with strong mixing noises ⋮ A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection ⋮ A locally asymptotically powerful test for nonlinear autoregressive models ⋮ Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors ⋮ A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations

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