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Some tests in dynamic models with a finite number of parameters *
Authors:
Henning L
uter a;
Norbert Miethe a
uter a;
Norbert Miethe a
| Affiliation: | a Zentralinstitut f r Mathematik und Mechanik, Adw der DDR, Berlin |
DOI:
10.1080/02331887908801496
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
PDF
(English)
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Abstract
We consider autoregressive models with moving average residuals (ARMA) and as special cases the autoregressive model (AR) and the moving average (MA). After a listing of properties of estimations of the parameters in these models we discuss an approximative likelihood ratio λ* which was investigated by T.W. Anderson. We determine the asymptotic distribution of λ* and with these results we get test for the orders of the autoregressive resp. the moving average part. In. the last section we consider the classifi-kation of a time series in one of two classes which are described by ARMA-models.
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*
2Invited lecture at the Third International Summer School on Problems of Model Choice and Parameter Estimation in Regression Analysis, M
 hlhausen/G.D.R., 11-21 May 1977.
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