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November 2010 Some corrections of the score test statistic for Gaussian ARMA models
Bernardo M. Lagos, Pedro A. Morettin, Lúcia P. Barroso
Braz. J. Probab. Stat. 24(3): 434-456 (November 2010). DOI: 10.1214/09-BJPS023

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.

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Bernardo M. Lagos. Pedro A. Morettin. Lúcia P. Barroso. "Some corrections of the score test statistic for Gaussian ARMA models." Braz. J. Probab. Stat. 24 (3) 434 - 456, November 2010. https://doi.org/10.1214/09-BJPS023

Information

Published: November 2010
First available in Project Euclid: 2 August 2010

zbMATH: 1298.62154
MathSciNet: MR2719695
Digital Object Identifier: 10.1214/09-BJPS023

Rights: Copyright © 2010 Brazilian Statistical Association

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Vol.24 • No. 3 • November 2010
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