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Rényi statistics for testing equality of autocorrelation coefficients

SYSNO ASEP	0332408
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	Rényi statistics for testing equality of autocorrelation coefficients
Title	Rényiho statistiky pro testování rovnosti autokorelačních koeficientů
Author(s)	Hobza, Tomáš (UTIA-B) Pardo, L. (ES) Morales, D. (ES)
Source Title	Statistical Methodology. - : Elsevier - ISSN 1572-3127 Roč. 6, č. 4 (2009), s. 424-436
Number of pages	13 s.
Publication form	www - www
Language	eng - English
Country	NL - Netherlands
Keywords	Rényi divergence ; Likelihood divergence statistics ; Testing hypothesis ; Autocorrelation coefficient
Subject RIV	BB - Applied Statistics, Operational Research
R&D Projects	1M0572 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
DOI	10.1016/j.stamet.2009.03.001
Annotation	The problem of testing for equality of autocorrelation coefficients of two populations in multivariate data when errors are autocorrelated is considered. We derive Rényi statistics defined as divergences between unrestricted and restricted estimated joint probability density functions and we show that they are asymptotically chi-square distributed under the null hypothesis of interest. Monte Carlo simulation experiments are carried out to investigate the behavior of Rényi statistics and to make comparisons with test statistics based on the approach of Bhandary [M. Bhandary, Test for equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated, Statistics & Probability Letters 73 (2005) 333 342] for the problem under consideration. Rényi statistics showed to have significantly better behavior.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2010

Number of the records: 1