An asymptotic expansion for the distribution of the likelihood radio criterion for a gaussian autoregressive moving average process under a local alternative

研究成果: Article査読

5 被引用数 (Scopus)

抄録

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).

本文言語English
ページ(範囲)73-84
ページ数12
ジャーナルEconometric Theory
1
1
DOI
出版ステータスPublished - 1985 4
外部発表はい

ASJC Scopus subject areas

  • 社会科学(その他)
  • 経済学、計量経済学

フィンガープリント

「An asymptotic expansion for the distribution of the likelihood radio criterion for a gaussian autoregressive moving average process under a local alternative」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル