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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Principais autores:	Li Bi, Deqi Wang, Libo Cheng, Dequan Qi
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2024-08-01
Colecção:	Mathematics
Assuntos:	hypothesis test locally most powerful test multivariate RCAR(1) model
Acesso em linha:	https://www.mdpi.com/2227-7390/12/16/2455
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