A Decision Procedure for Bilinear Time Series Based on the Asymptotic Separation
作者:
E. Goncalves,
P. Jacob,
N. Mendes-Lopes,
期刊:
Statistics
(Taylor Available online 2000)
卷期:
Volume 33,
issue 4
页码: 333-348
ISSN:0233-1888
年代: 2000
DOI:10.1080/02331880008802699
出版商: Taylor & Francis Group
关键词: 62M10;Time Series;asymptotic separation;bilinear models;test
数据来源: Taylor
摘要:
This paper presents a non-classical decision procedure for a bilinear model with a general error process. This procedure allows us to decide, in a consistent way, between two hypotheses on the model. By establishing the asymptotic separation of the sequences of probability laws defined by each hypothesis, we obtain the consistence of this decision method. Some studies about the rate of convergence are presented and an exponential decay is obtained. A simulation study is done to illustrate the behaviour of the power and level functions in small and moderate samples when this procedure is used as a test.
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