Optimal test for PAR(1) dependence against PSETAR(2, 1, 1) models with specified threshold. Issue 4 (16th February 2016)

• Record Type: Journal Article
• Authors: Merzougui, M.
• Is Part Of: Communications in statistics. Volume 45:Issue 4(2016)
• Page Start: 872
• Page End: 886
• Publication Date: 2016-02-16
• Subjects: Local asymptotic "most stringent" test -- Local asymptotic normality -- Periodic autoregressive -- Periodic self-exciting threshold autoregressive; 62F12 -- 62M10.; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2013.853788
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: This paper is devoted to testing a classical periodic autoregressive against a periodic threshold autoregressive modelwith specified threshold . The local asymptotic normality property is shown via the adapted sufficient conditions due to Swensen (1985 ). Using this result we consider the case where the innovation density is specified, and we obtain a parametric local asymptotic " most stringent " test.