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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Detalhes bibliográficos
Autor principal: Ketterer, Florian
Outros Autores: Holzmann, Hajo (Prof. Dr.) (Orientador)
Formato: Dissertation
Idioma:inglês
Publicado em: Philipps-Universität Marburg 2011
Assuntos:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Detalhes do Exemplar
Número de Chamada: urn:nbn:de:hebis:04-z2011-01208
Data de Publicação: 2011-08-08
Datum der Annahme: 2011-06-16
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Lizenz: https://rightsstatements.org/vocab/InC-NC/1.0/
Acessar a URL: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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