On the Asymptotic Power of the Likelihood Ratio Criterion for Testing the Hypothesis of Nonstationarity of an Autoregressive Series with Cauchy Innovations

On the Asymptotic Power of the Likelihood Ratio Criterion for Testing the Hypothesis of... The hypothesis of stationarity of an autoregressive time series is tested, where the innovation noise has infinite variance, namely, is subject to the Cauchy distribution. The main result obtained is the limit distribution of the likelihood ratio. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Problems of Information Transmission Springer Journals

On the Asymptotic Power of the Likelihood Ratio Criterion for Testing the Hypothesis of Nonstationarity of an Autoregressive Series with Cauchy Innovations

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Publisher
Kluwer Academic Publishers-Plenum Publishers
Copyright
Copyright © 2004 by MAIK “Nauka/Interperiodica”
Subject
Engineering; Communications Engineering, Networks; Electrical Engineering; Information Storage and Retrieval; Systems Theory, Control
ISSN
0032-9460
eISSN
1608-3253
D.O.I.
10.1023/B:PRIT.0000043931.75717.83
Publisher site
See Article on Publisher Site

Abstract

The hypothesis of stationarity of an autoregressive time series is tested, where the innovation noise has infinite variance, namely, is subject to the Cauchy distribution. The main result obtained is the limit distribution of the likelihood ratio.

Journal

Problems of Information TransmissionSpringer Journals

Published: Dec 16, 2004

References

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