Normality test in random coefficient autoregressive models

Zixuan Liu; Junmo Song

doi:10.1007/s42952-023-00230-7

Normality test in random coefficient autoregressive models

Zixuan Liu, Junmo Song

Kyungpook National University

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

In this paper, we consider the problem of testing for normality of the two unobservable random processes included in the first order random coefficient autoregressive models. To this end, we propose an information matrix based test and derive its limiting null distribution. We conduct simulations to evaluate the performance and characteristics of the introduced test, and provide a real data analysis.

Original language	English
Pages (from-to)	960-981
Number of pages	22
Journal	Journal of the Korean Statistical Society
Volume	52
Issue number	4
DOIs	https://doi.org/10.1007/s42952-023-00230-7
State	Published - Dec 2023

Keywords

Normality test
Random coefficient autoregressive models
The information matrix test

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10.1007/s42952-023-00230-7

Cite this

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title = "Normality test in random coefficient autoregressive models",

abstract = "In this paper, we consider the problem of testing for normality of the two unobservable random processes included in the first order random coefficient autoregressive models. To this end, we propose an information matrix based test and derive its limiting null distribution. We conduct simulations to evaluate the performance and characteristics of the introduced test, and provide a real data analysis.",

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author = "Zixuan Liu and Junmo Song",

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AB - In this paper, we consider the problem of testing for normality of the two unobservable random processes included in the first order random coefficient autoregressive models. To this end, we propose an information matrix based test and derive its limiting null distribution. We conduct simulations to evaluate the performance and characteristics of the introduced test, and provide a real data analysis.

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Normality test in random coefficient autoregressive models

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Keywords

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