| Full text | |
| Author(s): |
Total Authors: 3
|
| Affiliation: | [1] Univ Concepcion, Concepcion - Chile
[2] Univ Sao Paulo, Sao Paulo - Brazil
Total Affiliations: 2
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| Document type: | Journal article |
| Source: | BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS; v. 24, n. 3, p. 434-456, NOV 2010. |
| Web of Science Citations: | 5 |
| Abstract | |
In this article we compute three corrected score statistic versions: the Bartlett-type correction and the monotone corrected score statistics proposed by Kakizawa {[}Biometrika 83 (1996) 923-927] and Cordeiro, Ferrari and Cysneiros {[}J. Stat. Comput. Simul. 62 (1998) 123-136]. These corrected statistics are used to test the null hypothesis concerning some parameter of interest of an ARMA model, assumed to be Gaussian, stationary and invertible. We also consider the situations where nuisance parameters are present. The formulas are written in matrix form, appropriate for the use of symbolic or numerical languages. Some simulation results are also presented for the AR(1), MA(1) and ARMA(1, 1) models. (AU) | |
| FAPESP's process: | 03/10105-2 - Temporal series, analysis of dependency and applications in actuarial science and finance |
| Grantee: | Pedro Alberto Morettin |
| Support Opportunities: | PRONEX Research - Thematic Grants |
| FAPESP's process: | 04/15304-6 - Regression models and applications |
| Grantee: | Heleno Bolfarine |
| Support Opportunities: | Research Projects - Thematic Grants |