A diagnostic statistic for functional-coefficient autoregressive models

研究成果: Article査読

2 被引用数 (Scopus)

抄録

In this paper, functional coefficient autoregressive (FAR) models proposed by Chen and Tsay (1993) are considered. We propose a diagnostic statistic for FAR models constructed by comparing between parametric and nonparametric estimators of the functional form of the FAR models. We show asymptotic properties of our statistic mathematically and it can be applied to the estimation of the delay parameter and the specification of the functional form of FAR models.

本文言語English
ページ(範囲)2257-2273
ページ数17
ジャーナルCommunications in Statistics - Theory and Methods
27
9
DOI
出版ステータスPublished - 1998
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率

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