Testing Coefficient Randomness in Multivariate Random Coefficient Autoregressive Models Based on Locally Most Powerful Test
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DOI: 10.3390/math12162455
Abstract: 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… read more here.
Keywords: test; multivariate random; random coefficient; coefficient ... See more keywords