Locally Most Powerful Test for the Random Coefficient Autoregressive Model
Joint Authors
Bi, Li
Lu, Feilong
Yang, Kai
Wang, Dehui
Source
Mathematical Problems in Engineering
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-06-27
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
In this article, we study the problem of testing the constancy of the coefficient in a class of stationary first-order random coefficient autoregressive (RCAR(1)) model.
We construct a new test statistic based on the locally most powerful-type (LMP) test.
Under the null hypothesis, we derive the limiting distribution of the proposed test statistic.
In the simulation, we compare the power between LMP test and empirical likelihood (EL) test and find that the accuracy of using LMP is 6.7%, 28.8%, and 26.1% higher than that of EL test under normal, student’s t, and symmetric contamination errors, respectively.
A real life data is given to illustrate the practical effectiveness of our test.
American Psychological Association (APA)
Bi, Li& Lu, Feilong& Yang, Kai& Wang, Dehui. 2019. Locally Most Powerful Test for the Random Coefficient Autoregressive Model. Mathematical Problems in Engineering،Vol. 2019, no. 2019, pp.1-11.
https://search.emarefa.net/detail/BIM-1196647
Modern Language Association (MLA)
Bi, Li…[et al.]. Locally Most Powerful Test for the Random Coefficient Autoregressive Model. Mathematical Problems in Engineering No. 2019 (2019), pp.1-11.
https://search.emarefa.net/detail/BIM-1196647
American Medical Association (AMA)
Bi, Li& Lu, Feilong& Yang, Kai& Wang, Dehui. Locally Most Powerful Test for the Random Coefficient Autoregressive Model. Mathematical Problems in Engineering. 2019. Vol. 2019, no. 2019, pp.1-11.
https://search.emarefa.net/detail/BIM-1196647
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1196647