Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Maximum entropy test for infinite order autoregressive models

  • Lee, Sangyeol (Department of Statistics, Seoul National University) ;
  • Lee, Jiyeon (Department of Statistics, Seoul National University) ;
  • Noh, Jungsik (Department of Statistics, Seoul National University)
  • Received : 2013.03.02
  • Accepted : 2013.04.01
  • Published : 2013.05.31
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Abstract

In this paper, we consider the maximum entropy test in in nite order autoregressiv models. Its asymptotic distribution is derived under the null hypothesis. A bootstrap version of the test is discussed and its performance is evaluated through Monte Carlo simulations.

Keywords

References

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