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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Huvudupphovsman: | |
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Materialtyp: | Dissertation |
Språk: | engelska |
Publicerad: |
Philipps-Universität Marburg
2011
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Länkar: | PDF-fulltext |
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Internet
PDF-fulltextSignum: |
urn:nbn:de:hebis:04-z2011-01208 |
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Utgivningstid: |
2011-08-08 |
Datum der Annahme: |
2011-06-16 |
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Lizenz: |
https://rightsstatements.org/vocab/InC-NC/1.0/ |
Länk till materialet: |
https://archiv.ub.uni-marburg.de/diss/z2011/0120 https://doi.org/10.17192/z2011.0120 |