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Probl. Peredachi Inf., 2004, Volume 40, Issue 2, Pages 81–93 (Mi ppi136)  

Methods of Signal Processing

On the Asymptotical Power of the Likelihood Ratio Criterion for Testing the Hypothesis of Nonstationarity of an Autoregressive Series with Cauchy Innovations

O. V. Gaas

M. V. Lomonosov Moscow State University

Abstract: The hypothesis of stationarity of an autoregressive time series is tested, where the innovation noise has infinite variance, namely, is subject to the Cauchy distribution. The main result obtained is the limit distribution of the likelihood ratio.

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English version:
Problems of Information Transmission, 2004, 40:2, 175–185

Bibliographic databases:

UDC: 621.391.1:519.27
Received: 14.11.2003
Revised: 04.03.2004

Citation: O. V. Gaas, “On the Asymptotical Power of the Likelihood Ratio Criterion for Testing the Hypothesis of Nonstationarity of an Autoregressive Series with Cauchy Innovations”, Probl. Peredachi Inf., 40:2 (2004), 81–93; Problems Inform. Transmission, 40:2 (2004), 175–185

Citation in format AMSBIB
\Bibitem{Gaa04}
\by O.~V.~Gaas
\paper On the Asymptotical Power of the Likelihood Ratio Criterion for Testing the
Hypothesis of Nonstationarity of an Autoregressive Series with Cauchy Innovations
\jour Probl. Peredachi Inf.
\yr 2004
\vol 40
\issue 2
\pages 81--93
\mathnet{http://mi.mathnet.ru/ppi136}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=2099012}
\zmath{https://zbmath.org/?q=an:1173.62319}
\transl
\jour Problems Inform. Transmission
\yr 2004
\vol 40
\issue 2
\pages 175--185
\crossref{https://doi.org/10.1023/B:PRIT.0000043931.75717.83}


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