scientific article; zbMATH DE number 125636

MaRDI QIDQ4027352zbMATH OpenFDO

Authors I. V. Basawa

Publication date 21 February 1993

zbMATH Keywords

generalized score testcomposite hypothesesdependent observationsoptimal estimating functionlarge sample testsNeyman's C(alpha) testasymptotical optimal testsfirst-order autoregressive-moving average modelGodambe criterionlikelihood estimating functionnon iid observationsRao's likelihood score test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Recommendations

• Testing hypotheses with estimated scores
• On the theory of \(C_{\alpha}\)-tests
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• Optimal tests for autoregressive models based on autoregression rank scores

Cited in

(12)

• Asymptotic optimal inference for a class of nonlinear time series models
• A new approximate point optimal test of a composite null hypothesis
• Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
• Extension of the Wald statistic to models with dependent observations.
• Assessing and accounting for time heterogeneity in stochastic actor oriented models
• Large sample inference for a multivariate linear model with autocorrelated errors
• Interventions in log-linear Poisson autoregression
• The pseudo-true score encompassing test for non-nested hypotheses.
• The epsilon-skew-normal distribution for analyzing near-normal data
• On the theory of \(C_{\alpha}\)-tests
• Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results
• Generalised score and Wald tests

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