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An omnibus test for the time series model AR(1)

✍ Scribed by T.W. Anderson; R.A. Lockhart; M.A. Stephens


Book ID
108432685
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
174 KB
Volume
118
Category
Article
ISSN
0304-4076

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Nonlinear time series contiguous to AR(1
✍ Sun Y. Hwang; I.V. Basawa πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 108 KB

A class of nonlinear time series models contiguous to a ΓΏrst-order autoregressive process (AR(1)) is introduced. The local asymptotic normality of the log-likelihood ratio statistic for testing for linearity is established. An e cient test of linearity is then obtained and its asymptotic power funct