Nonlinear time series contiguous to AR(1) processes and a related efficient test for linearity

被引：10
|
作者：
Hwang, SY
Basawa, IV
机构：
[1] Sookmyung Womens Univ, Seoul 140742, South Korea
[2] Univ Georgia, Dept Stat, Athens, GA 30602 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2001年 / 52卷 / 04期
关键词：
nonlinear time series; local asymptotic normality; contiguity; efficient tests; test of linearity; autoregressive processes;
D O I：
10.1016/S0167-7152(00)00234-0
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：
A class of nonlinear time series models contiguous to a first-order autoregressive process (AR(I)) is introduced. The local asymptotic normality of the log-likelihood ratio statistic for testing for linearity is established. An efficient test of linearity is then obtained and its asymptotic power function is derived. An extension to autoregressive conditionally heteroscedastic contiguous alternative models to AR(I) is also discussed and an efficient test of linearity is derived for this class also. (C) 2001 Elsevier Science B.V. All rights reserved.
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页码：381 / 390
页数：10
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