Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models

作者：Bentarzi M^*; Merzougui M

来源：Communications in Statistics - Simulation and Computation, 2009, 38(8): 1723-1741.

DOI：10.1080/03610910903108492

• Adaptive test
• Local Asymptotic Normality
• Local Asymptotic " most stringent" test
• Periodically correlated process
• Periodic self-exciting threshold autoregressive
• Swensen's conditions

This article is devoted to the study of the periodicity testing problem in a self-exciting threshold autoregressive (SETAR) model. The local asymptotic normality (LAN) property is shown via the adapted sufficient conditions due to Swensen (1985). Moreover, the LAN of the central sequence is established. First, we consider the case where the innovation density is specified and we obtain a parametric local asymptotic test. Second, we construct an adaptive test in the case where this density is unspecified but symmetric. The performances of these established tests are shown via simulation studies.

• 出版日期2009