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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Gorde:
Xehetasun bibliografikoak
Egile nagusia: Ketterer, Florian
Beste egile batzuk: Holzmann, Hajo (Prof. Dr.) (Tesi aholkularia)
Formatua: Dissertation
Hizkuntza:ingelesa
Argitaratua: Philipps-Universität Marburg 2011
Gaiak:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Aleari buruzko argibideak
Sailkapena: urn:nbn:de:hebis:04-z2011-01208
Argitaratze data: 2011-08-08
Datum der Annahme: 2011-06-16
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Lizenz: https://rightsstatements.org/vocab/InC-NC/1.0/
URL sarbidea: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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