2026-06-29T08:15:38Zhttps://docta.ucm.es/rest/oai/request

oai:docta.ucm.es:20.500.14352/578692023-08-25T23:14:24Zcom_20.500.14352_14col_20.500.14352_15

Extension of the Wald statistic to models with dependent observations Morales González, Domingo Pardo Llorente, Leandro Pardo Llorente, María del Carmen Vadja, Igor 519.2 composite parametric hypotheses generalized likelihood ratio statistic generalized Wald statistic convergent exponential models Levy processes diffusion fields stochastic-processes Procesos estocásticos 1208.08 Procesos Estocásticos 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. DGES Depto. de Estadística e Investigación Operativa Fac. de Ciencias Matemáticas TRUE pub 2023-06-20T17:09:44Z 2023-06-20T17:09:44Z 2000-12 journal article https://hdl.handle.net/20.500.14352/57869 0026-1335 10.1007/s001840000060 eng PB-96 0635 GV99/159/1/01 GACR 102/99/1137 restricted access application/pdf Springer Heidelberg