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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Bibliografski detalji
Glavni autor: Ketterer, Florian
Daljnji autori: Holzmann, Hajo (Prof. Dr.) (Savjetnik disertacije)
Format: Dissertation
Jezik:engleski
Izdano: Philipps-Universität Marburg 2011
Teme:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Detalji primjeraka od
Signatura: urn:nbn:de:hebis:04-z2011-01208
Datum izdanja: 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/
URL pristupa: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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