The restricted likelihood ratio test for autoregressive processes

DOI10.1111/j.1467-9892.2011.00769.xzbMath1300.62071OpenAlexW2124181300MaRDI QIDQ2930894

Willa W. Chen, Rohit S. Deo

Publication date: 20 November 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00769.x

zbMATH Keywords

likelihood ratio testrestricted maximum likelihoodreparametrizationpartial autocorrelation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Defining the curvature of a statistical problem (with applications to second order efficiency)
• On the parametrization of autoregressive models by partial autocorrelations
• Fitting MA(\(q\)) models in the closed invertible region
• The restricted likelihood ratio test at the boundary in autoregressive series
• BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
• Partial autocorrelation parameterization for subset autoregression
• On the corrections to the likelihood ratio statistics
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• On the inverses of some patterned matrices arising in the theory of stationary time series
• Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
• Bayesian inference for variance components using only error contrasts
• Weighted least squares approximate restricted likelihood estimation for vector autoregressive processes
• BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD
• Uniform Inference in Autoregressive Models

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