About Second Order Local Power of the Likelihood Ratio, Wald and Score Statistics in First Order Autoregressive and Moving Average Models

In this paper we extend heuristically a simple formula for the local power of second order for the likelihood ratio, the Wald and score statistics, when a Gaussian autoregressive and moving average model of first order is considered and the interest and nuisance parameter vectors are multi-dimension...

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Bibliographic Details
Published in:Communications in statistics. Theory and methods 2004-01, Vol.33 (2), p.367-379
Main Author: Lagos, Bernardo M.
Format: Article
Language:English
Subjects:
ARMA models
Chi-squared distribution
Exact sciences and technology
Inference from stochastic processes
time series analysis
Likelihood ratio statistic
Mathematics
Nonparametric inference
Power function
Probability and statistics
Sciences and techniques of general use
Score statistic
Statistics
Time series
Wald statistic
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Summary:In this paper we extend heuristically a simple formula for the local power of second order for the likelihood ratio, the Wald and score statistics, when a Gaussian autoregressive and moving average model of first order is considered and the interest and nuisance parameter vectors are multi-dimensional. The second order local power for the three criteria mentioned here are compared using particular models and hypotheses.
ISSN:0361-0926
1532-415X
DOI:10.1081/STA-120028379