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

5 引用 (Scopus)

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
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

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。これらはともに一意のフィンガープリントを構成します。

  • これを引用