Testing composite hypotheses for locally stationary processes

Journal of Time Series Analysis

Volumn 24, Issue 4, 2003, Pages 483-504

  Sakiyama, Kenji ^a   Taniguchi, Masanobu ^a  

^a OSAKA UNIVERSITY   (Japan)

Author keywords

Gaussian likelihood ratio test; Lagrange multiplier test; Local asymptotic normality; Local power; Locally asymptotically optimal test; Locally stationary processes; Tests for stationarity; Time varying spectral density; Transfer function; Wald test

Indexed keywords

EID: 0141976688     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00317     Document Type: Article

References (17)

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