Normality test in random coefficient autoregressive models

被引：0

作者：

Zixuan Liu

Junmo Song

机构：

[1] Kyungpook National University,Department of Statistics

来源：

Journal of the Korean Statistical Society | 2023年 / 52卷

关键词：

Random coefficient autoregressive models; The information matrix test; Normality test;

D O I：

暂无

中图分类号：

学科分类号：

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：21

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