Improvement of the Likelihood Ratio Test Statistic in ARMA Models
โ 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.
๐ SIMILAR VOLUMES
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
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