Some corrections of the score test statistic for Gaussian ARMA models
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Publication:467896
DOI10.1214/09-BJPS023zbMath1298.62154OpenAlexW2046261927MaRDI QIDQ467896
Lúcia P. Barroso, Bernardo M. Lagos, Pedro Alberto 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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
Improved likelihood inference in generalized linear models ⋮ Improved score tests for exponential family nonlinear models ⋮ Small‐sample testing inference in symmetric and log‐symmetric linear regression models ⋮ Gradient statistic: higher-order asymptotics and Bartlett-type correction ⋮ Improved likelihood-based inference in Birnbaum-Saunders nonlinear regression models ⋮ Improved inference in dispersion models
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