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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Autore principale: Ketterer, Florian
Altri autori: Holzmann, Hajo (Prof. Dr.) (Relatore della tesi)
Natura: Dissertation
Lingua:inglese
Pubblicazione: Philipps-Universität Marburg 2011
Soggetti:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Collocazione: urn:nbn:de:hebis:04-z2011-01208
Data di pubblicazione: 2011-08-08
Datum der Annahme: 2011-06-16
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Lizenz: https://rightsstatements.org/vocab/InC-NC/1.0/
URL di accesso: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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