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Article: Test de différence de contrastes et somme pondérée de khi-deux
Title | Test de différence de contrastes et somme pondérée de khi-deux |
---|---|
Authors | |
Keywords | Coding Conditional Pseudolikelihood Contrast-Difference Test Inhomogeneous Markov Chain Minimum-Contrast Estimation Whittle's Contrast |
Issue Date | 1996 |
Publisher | Statistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjs |
Citation | Canadian Journal Of Statistics, 1996, v. 24 n. 1, p. 115-130 How to Cite? |
Abstract | After recalling the framework of minimum-contrast estimation, its consistency and its asymptotic normality, we highlight the fact that these results do not require any stationary or ergodicity assumptions. The asymptotic distribution of the underlying contrast difference test is a weighted sum of independent chi-square variables having one degree of freedom each. We illustrate these results in three contexts: (1) a nonhomogeneous Markov chain with likelihood contrast; (2) a Markov field with coding, pseudolikelihood or likelihood contrasts; (3) a not necessarily Gaussian time series with Whittle's contrast. In contexts (2) and (3), we compare experimentally the power of the likelihood-ratio test with those of the other contrast-difference tests. |
Persistent Identifier | http://hdl.handle.net/10722/172374 |
ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 0.508 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bayomog, S | en_US |
dc.contributor.author | Guyon, X | en_US |
dc.contributor.author | Hardouin, C | en_US |
dc.contributor.author | Jianfeng, Y | en_US |
dc.date.accessioned | 2012-10-30T06:22:11Z | - |
dc.date.available | 2012-10-30T06:22:11Z | - |
dc.date.issued | 1996 | en_US |
dc.identifier.citation | Canadian Journal Of Statistics, 1996, v. 24 n. 1, p. 115-130 | en_US |
dc.identifier.issn | 0319-5724 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172374 | - |
dc.description.abstract | After recalling the framework of minimum-contrast estimation, its consistency and its asymptotic normality, we highlight the fact that these results do not require any stationary or ergodicity assumptions. The asymptotic distribution of the underlying contrast difference test is a weighted sum of independent chi-square variables having one degree of freedom each. We illustrate these results in three contexts: (1) a nonhomogeneous Markov chain with likelihood contrast; (2) a Markov field with coding, pseudolikelihood or likelihood contrasts; (3) a not necessarily Gaussian time series with Whittle's contrast. In contexts (2) and (3), we compare experimentally the power of the likelihood-ratio test with those of the other contrast-difference tests. | en_US |
dc.language | eng | en_US |
dc.publisher | Statistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjs | en_US |
dc.relation.ispartof | Canadian Journal of Statistics | en_US |
dc.subject | Coding | en_US |
dc.subject | Conditional Pseudolikelihood | en_US |
dc.subject | Contrast-Difference Test | en_US |
dc.subject | Inhomogeneous Markov Chain | en_US |
dc.subject | Minimum-Contrast Estimation | en_US |
dc.subject | Whittle's Contrast | en_US |
dc.title | Test de différence de contrastes et somme pondérée de khi-deux | en_US |
dc.type | Article | en_US |
dc.identifier.email | Jianfeng, Y: jeffyao@hku.hk | en_US |
dc.identifier.authority | Jianfeng, Y=rp01473 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.scopus | eid_2-s2.0-0030530918 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0030530918&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 24 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 115 | en_US |
dc.identifier.epage | 130 | en_US |
dc.identifier.isi | WOS:A1996UG65500009 | - |
dc.publisher.place | Canada | en_US |
dc.identifier.scopusauthorid | Bayomog, S=6507753880 | en_US |
dc.identifier.scopusauthorid | Guyon, X=6602587667 | en_US |
dc.identifier.scopusauthorid | Hardouin, C=15032906000 | en_US |
dc.identifier.scopusauthorid | Jianfeng, Y=7403503451 | en_US |
dc.identifier.issnl | 0319-5724 | - |