ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES

DOI10.1111/j.1467-9892.1987.tb00446.xzbMath0625.62074OpenAlexW2052948967MaRDI QIDQ3028140

Sandor M. Veres

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00446.x

zbMATH Keywords

likelihood ratio testGaussian white noiseinvariantsimulation studymodel order reductionmodel identificationchi-square tests of fitautoregressive moving average processesARMA(n,m) processlog likelihood ratiosoverparametrized ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items

Likelihood ratio of unidentifiable models and multilayer neural networks, Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes

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