Normality test in random coefficient autoregressive models

被引：0

作者：

Liu, Zixuan ^{[1
]}

Song, Junmo ^{[1
]}

机构：

[1] Kyungpook Natl Univ, Dept Stat, Daegu, South Korea

来源：

JOURNAL OF THE KOREAN STATISTICAL SOCIETY | 2023年 / 52卷 / 04期

基金：

新加坡国家研究基金会;

关键词：

Random coefficient autoregressive models; The information matrix test; Normality test; PARTIAL SUM PROCESSES; RESIDUALS;

D O I：

10.1007/s42952-023-00230-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we consider the problem of testing for normality of the two unobservable random processes included in the first order random coefficient autoregressive models. To this end, we propose an information matrix based test and derive its limiting null distribution. We conduct simulations to evaluate the performance and characteristics of the introduced test, and provide a real data analysis.

引用

页码：960 / 981

页数：22

共 50 条

[1] Normality test in random coefficient autoregressive models
Zixuan Liu
Junmo Song
[J]. Journal of the Korean Statistical Society, 2023, 52 : 960 - 981
[2] A NEW TEST FOR NORMALITY IN LINEAR AUTOREGRESSIVE MODELS
CHEN Min WU Guofu Institute of Applied Mathematics Chinese Academy of Sciences Beijing ChinaGemai ChenUniversity of Calgary Calgary Alberta TN N Canada
[J]. Journal of Systems Science and Complexity., 2002, (04) - 435
[3] A NEW TEST FOR NORMALITY IN LINEAR AUTOREGRESSIVE MODELS
CHEN Min WU Guofu (Institute of Applied Mathematics
[J]. Journal of Systems Science & Complexity, 2002, (04) : 423 - 435
[4] BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
Fink, Thorsten
Kreiss, Jens-Peter
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2013, 34 (06) : 646 - 667
[5] THE STABILITY OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
QUINN, BG
NICHOLLS, DF
[J]. INTERNATIONAL ECONOMIC REVIEW, 1981, 22 (03) : 741 - 744
[6] Estimation in random coefficient autoregressive models
Aue, A
Horváth, L
Steinebach, J
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2006, 27 (01) : 61 - 76
[7] Coefficient constancy test in a random coefficient autoregressive model
Lee, S
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 1998, 74 (01) : 93 - 101
[8] The local asymptotic normality of a class of generalized random coefficient autoregressive processes
Hwang, SY
Basawa, IV
[J]. STATISTICS & PROBABILITY LETTERS, 1997, 34 (02) : 165 - 170
[9] Coefficient constancy test in generalized random coefficient autoregressive model
Zhao, Zhi-Wen
Wang, De-Hui
Peng, Cui-Xin
[J]. APPLIED MATHEMATICS AND COMPUTATION, 2013, 219 (20) : 10283 - 10292
[10] Random coefficient autoregressive models for longitudinal data
Rahiala, M
[J]. BIOMETRIKA, 1999, 86 (03) : 718 - 722

← 1 2 3 4 5 →