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 |
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ページ(範囲) | 73-84 |
ページ数 | 12 |
ジャーナル | Econometric Theory |
巻 | 1 |
号 | 1 |
DOI | |
出版ステータス | Published - 1985 4月 |
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