A note on asymptotic testing theory for nonhomogeneous observations (Q1103291): Difference between revisions
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Revision as of 19:51, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | A note on asymptotic testing theory for nonhomogeneous observations |
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A note on asymptotic testing theory for nonhomogeneous observations (English)
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1988
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This note shows, for ergodic and nonergodic models, how previous results on the limit distributions of the likelihood ratio, score and Wald statistics can be extended under full matrix normalization. Compared to \(n^{1/2}\)- or diagonal norming this allows, just as in asymptotic estimation theory, for more heterogeneity of the data. As a key tool the Cholesky square root is used instead of the common symmetric square root.
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nonhomogeneous observations
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score statistics
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ergodic models
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nonergodic models
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limit distributions
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likelihood ratio
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Wald statistics
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full matrix normalization
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Cholesky square root
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