Institute of Information Theory and Automation

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Bibliography

Journal Article

Extension of the Wald statistic to models with dependent observations

Morales D., Pardo L., Pardo M. C., Vajda Igor

: Metrika vol.52, 2 (2000), p. 97-113

: AV0Z1075907

: GA102/99/1137, GA ČR, PB-960635, DGES, 99/159/01, GV

: composite parametric hypotheses, generalized likelihood ratio statistic, generalized Wald statistic

(eng): 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.

: 12B

: BB

2019-01-07 08:39