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Published in:
2014 | OriginalPaper | Chapter
15. Comparison of Autoregressive Curves Through Partial Sums of Quasi-Residuals
Author : Fang Li
Published in: Contemporary Developments in Statistical Theory
Publisher: Springer International Publishing
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Abstract
This chapter discusses the problem of testing the equality of two nonparametric autoregressive functions against two-sided alternatives. The heteroscedastic error and stationary densities of the two independent strong mixing strictly stationary time series can be possibly different. The chapter adapts the partial sum process idea used in the independent observations settings to construct the tests and derives their asymptotics under both null and alternative hypotheses. Then, a Monte Carlo simulation is conducted to study the finite sample level and power behavior of these tests at both fixed and local alternatives.