A note on asymptotic testing theory for nonhomogeneous observations
type: Item
instance of: scholarly article
title: A note on asymptotic testing theory for nonhomogeneous observations
zbMATH Open document ID: 0645.62033
DOI: 10.1016/0304-4149(88)90100-7
author: Ludwig Fahrmeir
published in: Stochastic Processes and their Applications
publication date: 1988-01-01T00:00:00Z
review text: This note shows, for ergodic and nonergodic models, how previous results on the limit distributions of the likelihood ratio, score and Wald statistics can be extended under full matrix normalization. Compared to \(n^{1/2}\)- or diagonal norming this allows, just as in asymptotic estimation theory, for more heterogeneity of the data. As a key tool the Cholesky square root is used instead of the common symmetric square root.
Mathematics Subject Classification ID: 62F05
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 4052792
zbMATH Keywords: nonhomogeneous observations
zbMATH Keywords: score statistics
zbMATH Keywords: ergodic models
zbMATH Keywords: nonergodic models
zbMATH Keywords: limit distributions
zbMATH Keywords: likelihood ratio
zbMATH Keywords: Wald statistics
zbMATH Keywords: full matrix normalization
zbMATH Keywords: Cholesky square root
MaRDI profile type: Publication
full work available at URL: 0304-4149(88)90100-7
OpenAlex ID: W2019446208
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description: scientific article; zbMATH DE number 4052792