Testing linear hypotheses in autoregressions
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Publication:918612
DOI10.1214/aos/1176347762zbMath0706.62077OpenAlexW2076142535MaRDI QIDQ918612
Publication date: 1990
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347762
local asymptotic normalityscore testsautoregressive processfinite ordertesting linear hypothesesasymptotically optimal statistical testsLAN modelsresidual rank tests
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)
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