Testing for intercept-scale switch in linear autoregression

DOI10.1002/cjs.11137zbMath1281.62199MaRDI QIDQ2856549

Hajo Holzmann, F. Ketterer

Publication date: 29 October 2013

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11137

zbMATH Keywords

likelihood ratio test; time series; switching autoregression

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F03: Parametric hypothesis testing

Related Items

EM-test for homogeneity in a two-sample problem with a mixture structure, Testing homogeneity in a scale mixture of normal distributions, Testing for intercept-scale switch in linear autoregression

Cites Work

• Unnamed Item
• Unnamed Item
• Hypothesis test for normal mixture models: the EM approach
• A constrained formulation of maximum-likelihood estimation for normal mixture distributions
• Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes
• Testing for intercept-scale switch in linear autoregression
• Tuning the EM-test for finite mixture models
• Non-finite Fisher information and homogeneity: an EM approach
• An Introduction to Regime Switching Time Series Models
• Testing normality in autoregressive models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• The likelihood ratio test for the number of components in a mixture with Markov regime
• Testing for Regime Switching