کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1149220 | 957867 | 2010 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Improved likelihood-based inference for the stationary AR(2) model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Improved likelihood-based inference for the stationary AR(2) model Improved likelihood-based inference for the stationary AR(2) model](/preview/png/1149220.png)
چکیده انگلیسی
An improved likelihood-based method based on Fraser et al. (1999) is proposed in this paper to test the significance of the second lag of the stationary AR(2) model. Compared with the test proposed by Fan and Yao (2003) and the signed log-likelihood ratio test, the proposed method has remarkable accuracy. Simulation studies are performed to illustrate the accuracy of the proposed method. Application of the proposed method on historical data is presented to demonstrate the implementation of this method. Furthermore, the method can be extended to the general AR(p) model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 7, July 2010, Pages 2099–2110
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 7, July 2010, Pages 2099–2110
نویسندگان
F. Chang, A.C.M. Wong,