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

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