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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Detaylı Bibliyografya
Yazar: Ketterer, Florian
Diğer Yazarlar: Holzmann, Hajo (Prof. Dr.) (Tez danışmanı)
Materyal Türü: Dissertation
Dil:İngilizce
Baskı/Yayın Bilgisi: Philipps-Universität Marburg 2011
Konular:
Statistik
Hypothesis testing
likelihood ratio test
Zeitreihen
Likelihood-Quotienten-Test
time series
General statistics
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Detaylı Erişim Bilgileri
Yer Numarası: urn:nbn:de:hebis:04-z2011-01208
Yayın Tarihi: 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/
Erişim Adresi URL: https://archiv.ub.uni-marburg.de/diss/z2011/0120
https://doi.org/10.17192/z2011.0120

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