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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Auteur principal: Ketterer, Florian
Autres auteurs: Holzmann, Hajo (Prof. Dr.) (Directeur de thèse)
Format: Dissertation
Langue:anglais
Publié: Philipps-Universität Marburg 2011
Sujets:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Texte intégral en PDF

Informations d'exemplaires de
Cote: urn:nbn:de:hebis:04-z2011-01208
Date de publication: 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'accès: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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