Rényi statistics for testing equality of autocorrelation coefficients

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F09%3A00159607" target="_blank" >RIV/68407700:21340/09:00159607 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/09:00332408

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Rényi statistics for testing equality of autocorrelation coefficients

Popis výsledku v původním jazyce

The problem of testing for equality of autocorrelation coefficients of two populations in multivariate data when errors are autocorrelated is considered. We derive Rényi statistics defined as divergences between unrestricted and restricted estimated joint probability density functions and we show that they are asymptotically chi-square distributed under the null hypothesis of interest. Monte Carlo simulation experiments are carried out to investigate the behavior of Rényi statistics and to make comparisons with test statistics based on the approach of Bhandary [M. Bhandary, Test for equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated, Statistics & Probability Letters 73 (2005) 333-342] for the problem under consideration. Rényi statistics showed to have significantly better behavior.

Název v anglickém jazyce

Rényi statistics for testing equality of autocorrelation coefficients

Popis výsledku anglicky

The problem of testing for equality of autocorrelation coefficients of two populations in multivariate data when errors are autocorrelated is considered. We derive Rényi statistics defined as divergences between unrestricted and restricted estimated joint probability density functions and we show that they are asymptotically chi-square distributed under the null hypothesis of interest. Monte Carlo simulation experiments are carried out to investigate the behavior of Rényi statistics and to make comparisons with test statistics based on the approach of Bhandary [M. Bhandary, Test for equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated, Statistics & Probability Letters 73 (2005) 333-342] for the problem under consideration. Rényi statistics showed to have significantly better behavior.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/1M0572" target="_blank" >1M0572: Data, algoritmy, rozhodování</a><br>

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2009

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Statistical Methodology

ISSN

1572-3127

e-ISSN

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Svazek periodika

6

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

13

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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