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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Formaat: | Dissertation |
Taal: | Engels |
Gepubliceerd in: |
Philipps-Universität Marburg
2011
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Onderwerpen: | |
Online toegang: | PDF Full text |
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PDF Full textPlaatsingsnummer: |
urn:nbn:de:hebis:04-z2011-01208 |
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Publicatiedatum: |
2011-08-08 |
Datum der Annahme: |
2011-06-16 |
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https://rightsstatements.org/vocab/InC-NC/1.0/ |
URL naar item: |
https://archiv.ub.uni-marburg.de/diss/z2011/0120 https://doi.org/10.17192/z2011.0120 |