Testing Coefficient Randomness in Multivariate Random Coefficient Autoregressive Models Based on Locally Most Powerful Test

The multivariate random coefficient autoregression (RCAR) process is widely used in time series modeling applications. Random autoregressive coefficients are usually assumed to be independent and identically distributed sequences of random variables. This paper investigates the issue of coefficient...

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Bibliografische Detailangaben

Hauptverfasser:	Li Bi, Deqi Wang, Libo Cheng, Dequan Qi
Format:	Artigo
Sprache:	Inglês
Veröffentlicht:	MDPI AG 2024-08-01
Schriftenreihe:	Mathematics
Schlagworte:	hypothesis test locally most powerful test multivariate RCAR(1) model
Online-Zugang:	https://www.mdpi.com/2227-7390/12/16/2455
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