基于局部最大功效法的RCAR(p)模型系数随机性检验
Randomness Test for Coefficients of RCAR(p) Model Based on the Locally Most Powerful Test Method
摘要: 本文运用局部最大功效检验法，对RCAR(p)模型系数的随机性展开检验。首先，基于极大似然估计法对模型参数进行估计，运用局部最大功效法构造检验统计量，并证明该统计量的极限性质；其次，在随机模拟环节，针对二阶、三阶及四阶RCAR模型，分别从检验水平与检验功效两个维度开展模拟分析，模拟结果进一步验证了所提检验方法的有效性与稳健性；最后，将该检验方法应用于意大利经济数据的实证分析之中。
Abstract: This paper employs the local maximum power test method to examine the randomness of the coefficients in the RCAR(p) model. Firstly, based on the maximum likelihood estimation method, the model parameters are estimated, and the local maximum power method is used to construct the test statistic, whose limiting properties are then proven. Secondly, in the random simulation stage, for second-order, third-order, and fourth-order RCAR models, simulation analysis is conducted from both the dimensions of test level and test power. The simulation results further verify the effectiveness and robustness of the proposed test method. Finally, this test method is applied to empirical analysis of Italian economic data.
文章引用：刘迪, 毕利. 基于局部最大功效法的RCAR(p)模型系数随机性检验[J]. 应用数学进展, 2026, 15(2): 94-105. https://doi.org/10.12677/aam.2026.152052

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