Optimal tests in AR(m) time series model

Published 27 Aug 2013 in stat.AP | (1308.5767v1)

Abstract: 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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Authors (1)

Tewfik Lounis

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