A simultaneous test in the presence of nested alternative hypotheses
Keyword(s):
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.
2018 ◽
Vol 1
(2)
◽
pp. 281-295
◽
Keyword(s):
2011 ◽
Vol 18
(3)
◽
pp. 319-331
Keyword(s):
1997 ◽
Vol 22
(3)
◽
pp. 249-264
◽
Keyword(s):
2007 ◽
Vol 51
(12)
◽
pp. 6180-6196
◽
2000 ◽
Vol 95
(451)
◽
pp. 1008
◽