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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...
保存先:
| 第一著者: | |
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| その他の著者: | |
| フォーマット: | Dissertation |
| 言語: | 英語 |
| 出版事項: |
Philipps-Universität Marburg
2011
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| 主題: | |
| オンライン･アクセス: | PDFフルテキスト |
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PDFフルテキスト| 請求記号: |
urn:nbn:de:hebis:04-z2011-01208 |
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| 出版日付: |
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/ |
| アクセスURL: |
https://archiv.ub.uni-marburg.de/diss/z2011/0120 https://doi.org/10.17192/z2011.0120 |