RT Journal Article
T1 Extension of the Wald statistic to models with dependent observations
A1 Morales González, Domingo
A1 Pardo Llorente, Leandro
A1 Pardo Llorente, María del Carmen
A1 Vadja, Igor
AB 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. 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.
PB Springer Heidelberg
SN 0026-1335
YR 2000
FD 2000-12
LK https://hdl.handle.net/20.500.14352/57869
UL https://hdl.handle.net/20.500.14352/57869
LA eng
NO DGES
DS Docta Complutense
RD 6 abr 2025