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April 2010 An efficient locally asymptotic parametric test in nonlinear heteroscedastic time series models
Fateh Chebana, Naâmane Laïb
Afr. Stat. 5(1): 197-209 (April 2010).

Abstract

In this paper we deal with a locally asymptotic stringent test for a general class of nonlinear time series heteroscedastic models. Based on the local asymptotic normality (LAN) property of these models, we propose a scoretype test statistic for testing hypotheses on the parameters appearing in the mean and variance functions of the proposed statistical test with and without nuisance parameters. Its asymptotic null distribution is obtained as well as the local power of the test.

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Fateh Chebana. Naâmane Laïb. "An efficient locally asymptotic parametric test in nonlinear heteroscedastic time series models." Afr. Stat. 5 (1) 197 - 209, April 2010.

Information

Published: April 2010
First available in Project Euclid: 1 January 2014

zbMATH: 1243.62115
MathSciNet: MR2920296

Subjects:
Primary: 62G05, 62M20
Secondary: 60J15

Rights: Copyright © 2010 The Statistics and Probability African Society

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Vol.5 • No. 1 • April 2010
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