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March, 1988 Asymptotic Theory of a Test for the Constancy of Regression Coefficients Against the Random Walk Alternative
Seiji Nabeya, Katsuto Tanaka
Ann. Statist. 16(1): 218-235 (March, 1988). DOI: 10.1214/aos/1176350701

Abstract

The LBI (locally best invariant) test is suggested under normality for the constancy of regression coefficients against the alternative hypothesis that one component of the coefficients follows a random walk process. We discuss the limiting null behavior of the test statistic without assuming normality under two situations, where the initial value of the random walk process is known or unknown. The limiting distribution is that of a quadratic functional of Brownian motion and the characteristic function is obtained from the Fredholm determinant associated with a certain integral equation. The limiting distribution is then computed by numerical inversion of the characteristic function.

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Seiji Nabeya. Katsuto Tanaka. "Asymptotic Theory of a Test for the Constancy of Regression Coefficients Against the Random Walk Alternative." Ann. Statist. 16 (1) 218 - 235, March, 1988. https://doi.org/10.1214/aos/1176350701

Information

Published: March, 1988
First available in Project Euclid: 12 April 2007

zbMATH: 0662.62098
MathSciNet: MR924867
Digital Object Identifier: 10.1214/aos/1176350701

Subjects:
Primary: 62M10
Secondary: 60J15, 62F03, 62F05

Rights: Copyright © 1988 Institute of Mathematical Statistics

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Vol.16 • No. 1 • March, 1988
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