๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Improvement of the Likelihood Ratio Test Statistic in ARMA Models

โœ Scribed by Bernardo M. Lagos; Pedro A. Morettin


Book ID
111039855
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
175 KB
Volume
25
Category
Article
ISSN
0143-9782

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Approximating the Non-Null Distribution
โœ Prof. H. B. Lawal ๐Ÿ“‚ Article ๐Ÿ“… 1992 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 381 KB ๐Ÿ‘ 3 views

This paper is concerned with investigation into the behavior of the likelihood ratio test statistic G2 when the alternative hypothesis M ( Q ) is the true model. Exact moments of G2 are computed empirically and three approximations are considered for approximating the non-null distribution of G2. Ou

Local likelihood ratio tests in the norm
โœ Yanhong Wu; Yongxia Xu ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 83 KB

The test for homogeneity in the mixture normal model is di cult to study due to the breakdown of the regularity conditions under standard theory. The asymptotic optimality of the likelihood ratio test is questionable and its distributional properties are also di cult to evaluate. In this paper, we c