On the Asymptotic Power of Tests of Fit under Local Alternatives in Autoregression
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DOI: 10.3103/s1066530719020042
Abstract: We consider a stationary AR(p) model. The autoregression parameters are unknown as well as the distribution of innovations. Based on the residuals from the parameter estimates, an analog of empirical distribution function is defined and… read more here.
Keywords: asymptotic power; local alternatives; power tests; tests fit ... See more keywords