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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主要作者: Ketterer, Florian
其他作者: Holzmann, Hajo (Prof. Dr.) (BetreuerIn (Doktorarbeit))
格式: Dissertation
語言:英语
出版: Philipps-Universität Marburg 2011
主題:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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持有資料詳情
索引號: urn:nbn:de:hebis:04-z2011-01208
Publikationsdatum: 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/
Zugangs-URL: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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