Testing for threshold autoregression

DOI10.1214/aos/1176347886zbMath0711.62074OpenAlexW2022347683MaRDI QIDQ923569

Elsie Sterbin Gottlieb

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/1176347886

zbMATH Keywords

Gaussian processergodicityBrownian bridgeleast squaresstationaritycontiguous alternativelikelihood ratio test statisticrho-mixingstationary time seriesthreshold autoregressive modelnuisance parameter present only under alternative

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

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