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December 2005 Testing for a linear MA model against threshold MA models
Shiqing Ling, Howell Tong
Ann. Statist. 33(6): 2529-2552 (December 2005). DOI: 10.1214/009053605000000598

Abstract

This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic converges weakly to a function of the centred Gaussian process. Under local alternatives, it is shown that this test has nontrivial asymptotic power. The results are based on a new weak convergence of a linear marked empirical process, which is independently of interest. This paper also gives an invertible expansion of the threshold MA models.

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Shiqing Ling. Howell Tong. "Testing for a linear MA model against threshold MA models." Ann. Statist. 33 (6) 2529 - 2552, December 2005. https://doi.org/10.1214/009053605000000598

Information

Published: December 2005
First available in Project Euclid: 17 February 2006

zbMATH: 1085.62102
MathSciNet: MR2253094
Digital Object Identifier: 10.1214/009053605000000598

Subjects:
Primary: 62F05 , 62M10
Secondary: 60G10

Keywords: invertibility , likelihood ratio test , MA model , Marked empirical process , threshold MA model

Rights: Copyright © 2005 Institute of Mathematical Statistics

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Vol.33 • No. 6 • December 2005
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