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...

Täydet tiedot

Tallennettuna:
Bibliografiset tiedot
Päätekijä: Ketterer, Florian
Muut tekijät: Holzmann, Hajo (Prof. Dr.) (BetreuerIn (Doktorarbeit))
Aineistotyyppi: Dissertation
Kieli:englanti
Julkaistu: Philipps-Universität Marburg 2011
Aiheet:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Internet

PDF-kokoteksti

Saatavuus:
Hyllypaikka: urn:nbn:de:hebis:04-z2011-01208
Julkaisupäivä: 2011-08-08
Datum der Annahme: 2011-06-16
Downloads: 23 (2024), 40 (2023), 77 (2022), 112 (2021), 84 (2020), 128 (2019), 143 (2018)
Lizenz: https://rightsstatements.org/vocab/InC-NC/1.0/
Linkki aineistoon: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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