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Biometrika 1984 71(1):203-206; doi:10.1093/biomet/71.1.203
© 1984 by Biometrika Trust
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MISCELLANEA

Large-sample tests of homogeneity for time series models

I. V. BASAWA, L. BILLARD and R. SRINIVASAN

Department of Mathematical Statistics, La Trobe University Melbourne, Australia
Department of Statistics and Computer Science, University of Georgia Athens, Georgia, U.S.A.

Limit distributions both under the null and a sequence of alternative hypotheses are derived for the likelihood ratio and related statistics for testing the homogeneity of several autoregressive processes. These results are extended to mixed autoregressive and moving average processes.

Key Words: Autoregressive processes • Likelihood ratio test • Mixed autoregressive-moving average process • Score test • Wald statistic


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