Efficient detection of random coefficients in autoregressive models
自回归模型随机系数的有效检测
The problem of detecting randomness in the coefficients of an AR(p) model, that is, the problem of testing ordinary AR(p) dependence against the alternative of a random coefficient autoregressive [RCAR(p)] model is considered. A nonstandard LAN property is established for RCAR(p) models in the vicinity of AR(p) ones. Two main problems arise in this context. The first problem is related to the statistical model itself: Gaussian assumptions are highly unrealistic in a…