Explicit and exponential bounds for a test on the coefficient of an AR(1) model

Bruno Massé and Marie-Claude Viano

Statistics & Probability Letters, 1995, vol. 25, issue 4, 365-371

Abstract: The problem of testing [varrho] [less-than-or-equals, slant] [varrho]1 against [varrho] [greater-or-equal, slanted] [varrho]2 for the AR(1) model Xk = [varrho]Xk - 1 + [var epsilon]k with a symmetric innovation distribution is considered. We propose a procedure using a sequence of separating Borel sets based on the distance between conditional distributions. Without assuming finiteness of the moments we obtain explicit and exponential bounds for the critical level and for the power of this test.

Keywords: AR(1); models; Symmetrically; distributed; noise; Exponential; separating; rate; Testing; a; correlation; coefficient; Critical; level; and; power (search for similar items in EconPapers)
Date: 1995
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