Extension of the Wald statistic to models with dependent observations

Simple item page
dc.contributor.authorMorales González, Domingo
dc.contributor.authorPardo Llorente, Leandro
dc.contributor.authorPardo Llorente, María del Carmen
dc.contributor.authorVadja, Igor
dc.date.accessioned2023-06-20T17:09:44Z
dc.date.available2023-06-20T17:09:44Z
dc.date.issued2000-12
dc.description.abstractA 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. Simulations in an example where the latter statistic is available show that the generalized Wald test achieves higher average power than the generalized likelihood ratio test.
dc.description.departmentDepto. de Estadística e Investigación Operativa
dc.description.facultyFac. de Ciencias Matemáticas
dc.description.refereedTRUE
dc.description.sponsorshipDGES
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/18085
dc.identifier.citationBarndorf-Nielsen OE (1978) Information and Exponential Families. John Wiley, Gluchester Barndorf-Nielsen OE and Sørensen M (1991) Information quantities in non classical setttings. Computational Statistic and Data Analysis 12:143-158 Barndorf-Nielsen OE and Sørensen M (1994) A review of some aspects of asymptotic likelihood theory for stochastic processes. International StatiStical Review 62:133-165 Brown LD (1986) Fundamentals of Statistical Exponential Families. Lecture Notes vol. 9. Inst. of Mathematical Statistics, Hayward, California Casalis M and Letac G (1994) Characterization of the Jorgensen set in generalized linear models. Test 3:145-162 Gihman II and Skorokhod AV (1975) The Theory o! StochaStic ProceSSeS, vol. 1. Springer-Verlag, Berlin Ikada N and Watanabe S (1981) Stochastic Differential Equations and Diffussion Processes. North-Holland, Amsterdam Küchler U and Sørensen M (1994) Exponential families of stochastic processes and Levy processes. Journal of Statistical Planning and Inference 39:211-237 Küchler U and Sørensen M (1997) Exponential Families of Stochastic Processes. Springer-Verlag, Berlin Morales D, Pardo L and Vajda I (1999) Renyi statistics in directed families of exponential experiments. Statistics 34:151-174 Rockafellar RT (1970) Convex Analysis. Princeton University Press, Princeton, New Jersey Serfing RJ (1976) Approximation Theorems of Mathematical Statistics. Wiley, New York
dc.identifier.doi10.1007/s001840000060
dc.identifier.issn0026-1335
dc.identifier.officialurlhttp://link.springer.com/article/10.1007%2Fs001840000060
dc.identifier.relatedurlhttp://link.springer.com/
dc.identifier.urihttps://hdl.handle.net/20.500.14352/57869
dc.issue.number2
dc.journal.titleMetrika
dc.language.isoeng
dc.page.final113
dc.page.initial97
dc.publisherSpringer Heidelberg
dc.relation.projectIDPB-96 0635
dc.relation.projectIDGV99/159/1/01
dc.relation.projectIDGACR 102/99/1137
dc.rights.accessRightsrestricted access
dc.subject.cdu519.2
dc.subject.keywordcomposite parametric hypotheses
dc.subject.keywordgeneralized likelihood ratio statistic
dc.subject.keywordgeneralized Wald statistic
dc.subject.keywordconvergent exponential models
dc.subject.keywordLevy processes
dc.subject.keyworddiffusion fields
dc.subject.keywordstochastic-processes
dc.subject.ucmProcesos estocásticos
dc.subject.unesco1208.08 Procesos Estocásticos
dc.titleExtension of the Wald statistic to models with dependent observations
dc.typejournal article
dc.volume.number52
dspace.entity.typePublication
relation.isAuthorOfPublication4d5cedd9-975b-43fb-bc2e-f55dec36a2bf
relation.isAuthorOfPublicationa6409cba-03ce-4c3b-af08-e673b7b2bf58
relation.isAuthorOfPublication.latestForDiscovery4d5cedd9-975b-43fb-bc2e-f55dec36a2bf
Download
Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
PardoLeandro48.pdf
Size:
143.98 KB
Format:
Adobe Portable Document Format
Download
Collections
Artículos