Some corrections of the score test statistic for Gaussian ARMA models
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Publication:467896
DOI10.1214/09-BJPS023zbMATH Open1298.62154OpenAlexW2046261927MaRDI QIDQ467896FDOQ467896
Authors: Bernardo M. Lagos, Lúcia P. Barroso, Pedro A. Morettin 
Publication date: 5 November 2014
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bjps/1280754494
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
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- Improvement of the Likelihood Ratio Test Statistic in ARMA Models
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Cited In (9)
- Improved score tests for exponential family nonlinear models
- On score vector- and residual-based CUSUM tests in ARMA-GARCH models
- Improved likelihood inference in generalized linear models
- Gradient statistic: higher-order asymptotics and Bartlett-type correction
- Improved likelihood-based inference in Birnbaum-Saunders nonlinear regression models
- Improvement of the Likelihood Ratio Test Statistic in ARMA Models
- Small‐sample testing inference in symmetric and log‐symmetric linear regression models
- Improved inference in dispersion models
- Free deterministic equivalent Z-scores of compound Wishart models: A goodness of fit test of 2D ARMA models
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