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Extension of the Wald statistic to models with dependent observations
- 1.0410555 - UTIA-B 20010024 RIV DE eng J - Journal Article
Morales, D. - Pardo, L. - Pardo, M. C. - Vajda, Igor
Extension of the Wald statistic to models with dependent observations.
Metrika. Roč. 52, č. 2 (2000), s. 97-113. ISSN 0026-1335. E-ISSN 1435-926X
R&D Projects: GA ČR GA102/99/1137
Grant - others:DGES(ES) PB-960635; GV(ES) 99/159/01
Institutional research plan: AV0Z1075907
Keywords : composite parametric hypotheses * generalized likelihood ratio statistic * generalized Wald statistic
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.212, year: 2000
A generalization of the Wald statistic for testing composite hypotheses is suggested for dependent data from exponential models which include Levy processes and diffusion fields. The generalized statistic is proved to be asymptotically chi-squared distributed under regular composite hypotheses. It is simpler and more easily available than the generalized likelihood ratio statistic.
Permanent Link: http://hdl.handle.net/11104/0130644
Number of the records: 1