Test for periodicity in restrictive EXPAR models. Issue 9 (2nd May 2016)

• Record Type: Journal Article
• Authors: Merzougui, M.; Dridi, H.; Chadli, A.
• Is Part Of: Communications in statistics. Volume 45:Issue 9(2016)
• Page Start: 2770
• Page End: 2783
• Publication Date: 2016-05-02
• Subjects: Local asymptotic "most stringent" test -- Periodic exponential autoregressive model local asymptotic normality -- Periodically correlated process; 62F12 -- 62M10; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2014.887110
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: This article is devoted to study the problem of test of periodicity in the restricted exponential autoregressive ( EXPAR ) model. The local asymptotic normality property, of this model, is shown via the adapted sufficient conditions due to Swensen (1985 ). Using this result, in the case where the innovation density is specified, we obtain a parametric local asymptotic " most stringent " test.