A test for strict stationarity in a random coefficient autoregressive model of order 1

被引：2

作者：

Trapani, Lorenzo ^{[1
]}

机构：

[1] Univ Nottingham, Nottingham, England

来源：

STATISTICS & PROBABILITY LETTERS | 2021年 / 177卷

关键词：

Random coefficient autoregression; Stationarity; Heavy tails; TIME-SERIES; UNIT-ROOT; INFERENCE;

D O I：

10.1016/j.spl.2021.109164

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：

We propose a test for the null of strict stationarity in a Random Coefficient AutoRegression (RCAR) of order 1. The test can also be used in the case of a standard AR(1) model, and it can be applied under minimal requirements on the existence of moments - in both cases without requiring any modifications or prior knowledge. (C) 2021 Elsevier B.V. All rights reserved.

引用

页数：9

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