Test for periodicity in restrictive EXPAR models |
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Authors: | M Merzougui H Dridi A Chadli |
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Institution: | 1. LaPS Laboratory, University Badji Mokhtar Annaba, Algeriamerzouguimouna@yahoo.fr;3. LaPS Laboratory, University Badji Mokhtar Annaba, Algeria |
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Abstract: | AbstractThis 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 Swensen, A.R. (1985). The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend. J. Multivariate Anal. 16:54–70.Crossref], Web of Science ®] , Google Scholar]). Using this result, in the case where the innovation density is specified, we obtain a parametric local asymptotic “most stringent” test. |
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Keywords: | Local asymptotic “most stringent” test Periodic exponential autoregressive model local asymptotic normality Periodically correlated process |
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