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An extension of the conditional likelihood ratio test to the general multiparameter case

✍ Scribed by Rahul Mukerjee

Book ID
104934296
Publisher
Springer Japan
Year
1993
Tongue
English
Weight
672 KB
Volume
45
Category
Article
ISSN
0020-3157

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πŸ“œ SIMILAR VOLUMES

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There was an error in Hansen (1992). I am very grateful to James Hamilton for pointing out the error. Equations ( 2) and (3) in the original read where Q ( a ) is a mean zero Gaussian process with covariance function K(ai, a21 = E(q;(ai)~i(ad). While equation ( 2) is correct, (3) is not. Instead,

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## Abstract A design procedure for detecting additive changes in a state‐space model is proposed. Since the mean of the observations after the change is unknown, detection algorithms based on the generalized likelihood ratio test, GLR, and on window‐limited type GLR, are considered. As Lai (1995) p