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Type I error concerning the asymptotic distribution of Hotelling′s T2 for autoregressive processes of order 1

Author Affiliations

  • 1Department of Economics, University of Patras, 26504 Rio-Patras, Greece

Res. J. Mathematical & Statistical Sci., Volume 8, Issue (1), Pages 35-38, January,12 (2020)

Abstract

It has been shown in existing literature that the probability of Type I error for the asymptotic distribution of a Student′s t- type of statistic concerning usual autoregressive processes of order 1 increases with autocorrelation. In the present paper this problem is also investigated in a multidimensional context using a Hotelling′s T^2 - type of statistic and the effect of the dimension of the process on the Type I error is discussed.

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