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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Wedi'i Gadw mewn:
Manylion Llyfryddiaeth
Prif Awdur: Ketterer, Florian
Awduron Eraill: Holzmann, Hajo (Prof. Dr.) (Cynghorydd traethodau ymchwil)
Fformat: Dissertation
Iaith:Saesneg
Cyhoeddwyd: Philipps-Universität Marburg 2011
Pynciau:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Manylion daliadau o
Rhif Galw: urn:nbn:de:hebis:04-z2011-01208
Dyddiad Cyhoeddi: 2011-08-08
Datum der Annahme: 2011-06-16
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Lizenz: https://rightsstatements.org/vocab/InC-NC/1.0/
URL mynediad: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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