HYPOTHESIS-TESTING FOR NEARLY NONSTATIONARY AUTOREGRESSIVE MODELS

被引：4
|
作者：
KORMOS, J
机构：
[1] Institute of Mathematics, Kossuth University, H-4010 Debrecen
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 1990年 / 19卷 / 01期
关键词：
D O I：
10.1016/0898-1221(90)90084-W
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, a new asymptotic theory is developed for nearly nonstationary autoregressive processes of first and second order. A general model is investigated and a hypothesis testing method is proposed for it. In important special cases the limit distribution of the test statistic can be expressed in terms of functionals of simple diffusion processes. © 1990.
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页码：75 / 82
页数：8
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