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...
Shranjeno v:
Glavni avtor: | |
---|---|
Drugi avtorji: | |
Format: | Dissertation |
Jezik: | angleščina |
Izdano: |
Philipps-Universität Marburg
2011
|
Teme: | |
Online dostop: | PDF-Volltext |
Oznake: |
Označite
Brez oznak, prvi označite!
|
Internet
PDF-VolltextSignatura: |
urn:nbn:de:hebis:04-z2011-01208 |
---|---|
Publikationsdatum: |
2011-08-08 |
Datum der Annahme: |
2011-06-16 |
Downloads: |
27 (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 |