Asymptotically Optimal Tests when Parameters are Estimated

Details Asymptotically Optimal Tests when Parameters are Estimated Asymptotically Optimal Tests when Parameters are Estimated

2011-10-02

arxiv.org/abs/1110.0205v1

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Scientific paper

The main purpose of this paper is to provide an asymptotically optimal test.
The proposed statistic is of Neyman-Pearson-type when the parameters are
estimated with a particular kind of estimators. It is shown that the proposed
estimators enable us to achieve this end. Two particular cases, AR(1) and ARCH
models were studied and the asymptotic power function was derived.

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