Hypothesis testing of common roots

DOI10.1016/0167-7152(94)90033-7MaRDI QIDQ1332871zbMATH OpenOpenAlexFDO

Authors André Klein

Publication date 5 September 1994

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(94)90033-7

zbMATH Keywords

Kalman filterstate space modelspectral densitycompanion matrixsingular Fisher information matrixWald-testinverse of the Fisher information matrixSylvester's resultant matrixtesting common roots of polynomials

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Testing For Common Roots
• Computing Wald criteria for nested hypotheses
• Wald tests of singular hypotheses
• Testing for the null of block zero restrictions in common factor models
• On the wald, lagrangian multiplier and likelihood ratio tests when the information matrix is singular

Cites work

• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• scientific article; zbMATH DE number 3355218 (Why is no real title available?)
• scientific article; zbMATH DE number 3086018 (Why is no real title available?)
• Some Applications of Matrics in the Theory of Equations
• Testing For Common Roots
• The Lagrangian Multiplier Test

Cited in

(3)

• Testing For Common Roots
• On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
• On the resultant property of the Fisher information matrix of a vector ARMA process

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