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Article

Adaptive test for periodicity in restrictive EXPAR(p) models

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Pages 6064-6077 | Received 30 Apr 2020, Accepted 11 Nov 2020, Published online: 30 Nov 2020
 

Abstract

Locally asymptotically most stringent test for testing the periodicity in the restricted exponential autoregressive model EXPAR(1) has been constructed by Merzougui et al. This test is generalized here to the restricted EXPAR of order p. On the other hand, we construct a semi-parametric optimal test of periodicity when the innovation density is unknown. The sufficient conditions of the Local Asymptotic Normality (LAN) property are adapted to the periodic model.

MATHEMATICS SUBJECT CLASSIFICATION:

Acknowledgments

The authors would like to thank the anonymous expert for his important comments which gave more insight to the model under consideration and refined the quality of the paper.

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