Asymptotic Theory of a Test for the Constancy of Regression Coefficients Against the Random Walk Alternative
Year: 1988
Type: article
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.
Source: The Annals of Statistics
Authors: Seiji Nabeya, Katsuto Tanaka
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze
OpenAlex ID: W1986446727