抜粋
In this paper, we shall derive the asymptotic expansion for the distribution of the likelihood ratio criterion for a Gaussian autoregressive moving average process under a sequence of local alternative hypotheses converging to the null hypothesis with rate of convergence [formula omitted] where n is the sample size. Explicit algebraic formulae are presented for certain special cases, including the ARMA(1,1).
| 元の言語 | English |
|---|---|
| ページ（範囲） | 73-84 |
| ページ数 | 12 |
| ジャーナル | Econometric Theory |
| 巻 | 1 |
| 発行部数 | 1 |
| DOI | |
| 出版物ステータス | Published - 1985 4 |
| 外部発表 | Yes |
ASJC Scopus subject areas
- Social Sciences (miscellaneous)
- Economics and Econometrics