A nonnested approach to testing continuous time models against discrete alternatives (Q1801422)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A nonnested approach to testing continuous time models against discrete alternatives |
scientific article; zbMATH DE number 202518
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A nonnested approach to testing continuous time models against discrete alternatives |
scientific article; zbMATH DE number 202518 |
Statements
A nonnested approach to testing continuous time models against discrete alternatives (English)
0 references
9 January 1994
0 references
The author considers a test of two competing models where one is formulated in continuous time as a system of stochastic differential equations and the other is formulated in discrete time as a system of nonlinear equations. The Cox test statistic is derived [\textit{D. R. Cox}, Proc. 4th Berkeley Sympos. Math. Statist. Probab. 1, 105-123 (1961)] and an illustrative example is presented.
0 references
continuous time models
0 references
discrete alternatives
0 references
system of stochastic differential equations
0 references
vector autoregressive moving averaging model
0 references
VARMAX
0 references
nonlinear equations
0 references
Cox test statistic
0 references
example
0 references
0 references
0.88305146
0 references
0.8829818
0 references
0 references
0.8715344
0 references
0.86948436
0 references
0.8675651
0 references
