Optimal tests in AR (m) time series model
نویسنده
چکیده
A method for an evaluation of the error between an unknown parameter and its estimator is developed. Its application enables us to preserve the asymptotic power of a constructed test. Testing problems in AR(1) and ARCH models are studied with a derivation of the asymptotic power function. Also the results are extended to AR(m) time series model.
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ورودعنوان ژورنال:
- Communications in Statistics - Simulation and Computation
دوره 46 شماره
صفحات -
تاریخ انتشار 2017