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A simultaneous test in the presence of nested alternative hypotheses

Published online by Cambridge University Press:  14 July 2016

Yuzo Hosoya
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Abstract

This paper considers the generalized likelihood ratio (GLR) test or its modification dealing with nested models. The algorithm for evaluating the critical values and the error-rates for the canonical tests are provided; a table of critical values of a class of GLR tests is also given. The test proposed in the paper has applications in time-series model selection.

Keywords

HYPOTHESIS TESTINGTIME-SERIES ANALYSISLIKELIHOOD RATIO TESTASYMPTOTIC THEORYNUMERICAL INTEGRATIONNESTED MODELSMODEL SELECTION

Information

Type
Part 3—Hypothesis Testing and Distribution Theory for Time Series
Information
Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 187 - 200
Copyright
Copyright © 1986 Applied Probability Trust 

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References

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