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
Otros Autores: Holzmann, Hajo (Prof. Dr.) (Orientador)
Formato: Dissertation
Lenguaje:inglés
Publicado: Philipps-Universität Marburg 2011
Materias:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Número de Clasificación: urn:nbn:de:hebis:04-z2011-01208
Fecha de Publicación: 2011-08-08
Datum der Annahme: 2011-06-16
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Lizenz: https://rightsstatements.org/vocab/InC-NC/1.0/
URL de Acceso: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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