Asymptotic tests of composite hypotheses for non-ergodic type stochastic processes
Asymptotic tests of composite hypotheses for non-ergodic type stochastic processes
复制标题
非遍历型随机过程复合假设的渐近检验
DOI：
10.1016/0304-4149(79)90051-6
复制
发表时间：
1979
影响因子：
1.4
通讯作者：
H. Koul
中科院分区：
文献类型：
--
作者：
I. Basawa;H. Koul
得到了非遍历型随机过程中检验多参数复合假设的得分统计量和似然比统计量的极限分布。结果表明，与通常的理论（遍历型过程），这些统计量的极限分布是不同的空和连续序列的替代假设。将结果应用于具有爆炸性自回归高斯误差的回归模型。在这个例子的讨论中，提出了一个修改的分数统计量，其中限制空和非空分布与似然比统计量相同。
Limiting distributions of a score statistic and the likelihood ratio statistic for testing a composite hypothesis involving several parameters in non-ergodic type stochastic processes are obtained. It is shown that, unlike in the usual theory (ergodic type processes), the limiting distributions of these statistics are different both under the null and a contiguous sequence of alternative hypotheses. The results are applied to a regression model with explosive autoregressive Gaussian errors. In the discussion of this example a modified score statistic is suggested where the limiting null and non-null distributions are the same as those of the likelihood ratio statistic.