On sign tests in ARMA models with possibly infinite error variance

被引：3

作者：

Boldin, MV

Stute, W

机构：

[1] Moscow MV Lomonosov State Univ, Dept Math & Mech, Moscow 119992, Russia

[2] Univ Giessen, Inst Math, D-35392 Giessen, Germany

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2004年 / 49卷 / 03期

关键词：

ARMA model; infinite variance; sign and rank tests; asymptotic uniform linearity;

D O I：

10.1137/S0040585X97981160

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：

For ARMA models with possibly infinite variance, we construct sign tests for linear hypotheses about a vector of unknown parameter. We study an asymptotic power of tests.

引用

页码：392 / 413

页数：22

共 50 条

[21] Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
Akashi F.
[J]. Statistical Inference for Stochastic Processes, 2017, 20 (3) : 291 - 313
[22] Tests for cointegration with infinite variance errors
Caner, M
[J]. JOURNAL OF ECONOMETRICS, 1998, 86 (01) : 155 - 175
[23] Distance and prediction error variance constraints for ARMA model portfolios
Chenoweth, T
Dowling, K
Hubata, R
St Louis, R
[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2004, 20 (01) : 41 - 52
[24] SIMEX variance component tests in generalized linear mixed measurement error models
Lin, XH
Carroll, RJ
[J]. BIOMETRICS, 1999, 55 (02) : 613 - 619
[25] The shape of large Galton-Watson trees with possibly infinite variance
Geiger, J
Kauffmann, L
[J]. RANDOM STRUCTURES & ALGORITHMS, 2004, 25 (03) : 311 - 335
[26] Infinite variance problem in fermion models
Alexandru, Andrei
Bedaque, Paulo F.
Carosso, Andrea
Oh, Hyunwoo
[J]. PHYSICAL REVIEW D, 2023, 107 (09)
[27] Gauss-Newton and M-estimation for ARMA processes with infinite variance
Davis, RA
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1996, 63 (01) : 75 - 95
[28] Exploring the Regional Variance using ARMA-GARCH Models
Huantian Xie
Dingfang Li
Lihua Xiong
[J]. Water Resources Management, 2016, 30 : 3507 - 3518
[29] Exploring the Regional Variance using ARMA-GARCH Models
Xie, Huantian
Li, Dingfang
Xiong, Lihua
[J]. WATER RESOURCES MANAGEMENT, 2016, 30 (10) : 3507 - 3518
[30] Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
Hwang, Kyo-Shin
Pang, Tian-Xiao
[J]. STATISTICS & PROBABILITY LETTERS, 2009, 79 (22) : 2374 - 2379

← 1 2 3 4 5 →