Testing for a linear MA model against threshold MA models
| dc.creator | Ling, Shiqing | |
| dc.creator | Tong, Howell | |
| dc.date | 2006-03-02 | |
| dc.date.accessioned | 2026-07-07T08:07:36Z | |
| dc.date.available | 2026-07-07T08:07:36Z | |
| dc.description | This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic converges weakly to a function of the centred Gaussian process. Under local alternatives, it is shown that this test has nontrivial asymptotic power. The results are based on a new weak convergence of a linear marked empirical process, which is independently of interest. This paper also gives an invertible expansion of the threshold MA models. | |
| dc.description | Published at http://dx.doi.org/10.1214/009053605000000598 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0603040 | |
| dc.identifier | http://arxiv.org/abs/math/0603040 | |
| dc.identifier | Annals of Statistics 2005, Vol. 33, No. 6, 2529-2552 | |
| dc.identifier | doi:10.1214/009053605000000598 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/130987 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62F05, 62M10 (Primary) 60G10 (Secondary) | |
| dc.title | Testing for a linear MA model against threshold MA models | |
| dc.type | text |