Penalized likelihood based tests for regime switching in autoregressive models

Penalized likelihood based tests for regime switching in autoregressive models

In this thesis, we are mainly concerned with the basic methodological issue to test for regime switching in various Markov-switching autoregressive models. To this end, we develop some penalized likelihood based tests which neglect the dependence structure in the latent process. We derive the asympt...

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Autor principal: Ketterer, Florian
Altres autors: Holzmann, Hajo (Prof. Dr.) (Assessor de tesis)
Format: Dissertation
Idioma:anglès
Publicat: Philipps-Universität Marburg 2011
Matèries:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Signatura: urn:nbn:de:hebis:04-z2011-01208
Data de publicació: 2011-08-08
Datum der Annahme: 2011-06-16
Downloads: 22 (2024), 40 (2023), 77 (2022), 112 (2021), 84 (2020), 128 (2019), 143 (2018)
Lizenz: https://rightsstatements.org/vocab/InC-NC/1.0/
URL d'accés: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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