An Exact Test for the Presence of Random Walk Coefficients in a Linear Regression Model
线性回归模型中随机游走系数存在性的精确检验
Exact tests of the hypothesis that the mean vector of an observed T-variate random variable follows a conventional fixed-coefficient linear model, against the alternative that the regression parameters vary according to a first-order Markov process, are derived. Power functions of the tests are investigated in order to provide means of choosing a test.