RANK-TESTS FOR TESTING THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS

被引：0

作者：

RAMANATHAN, TV

RAJARSHI, MB

机构：

[1] N MAHARASHTRA UNIV, DEPT MATH SCI, JALGAON 425001, INDIA

[2] UNIV POONA, DEPT STAT, POONA 411007, MAHARASHTRA, INDIA

来源：

STATISTICS & PROBABILITY LETTERS | 1994年 / 21卷 / 02期

关键词：

ASYMPTOTIC RELATIVE EFFICIENCY; RANDOM COEFFICIENT AUTOREGRESSIVE MODELS; RANDOMLY WEIGHTED EMPIRICAL PROCESSES; RANK TESTS;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We propose a class of rank tests for testing the randomness of the regression coefficients in a random coefficient autoregressive model. Asymptotic distributions of these tests are obtained via weak convergence results of a randomly weighted residual empirical process proved by Koul and Ossiander (1993). The proposed rank tests are found to be asymptotically distribution free under H-0. The asymptotic relative efficiency (ARE) (in the Pitman sense) of a rank test with respect to the score test for a Gaussian model is obtained.

引用

页码：115 / 120

页数：6

共 13 条

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