Some corrections of the score test statistic for Gaussian ARMA models

In this article we compute three corrected score statistic versions: the Bartlett-type correction and the monotone corrected score statistics proposed by Kakizawa [Biometrika83 (1996) 923–927] and Cordeiro, Ferrari and Cysneiros [J. Stat. Comput. Simul.62 (1998) 123–136]. These corrected statistics...

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Bibliographic Details
Published inBrazilian journal of probability and statistics Vol. 24; no. 3; pp. 434 - 456
Main Authors Lagos, Bernardo M., Morettin, Pedro A., Barroso, Lúcia P.
Format Journal Article
LanguageEnglish
Published Brazilian Statistical Association 2010
Subjects
Autoregressive moving average
Fisher information
Matrices
Modeling
Null hypothesis
Parametric models
Polynomials
Sample size
Simulations
Statistics
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Summary:In this article we compute three corrected score statistic versions: the Bartlett-type correction and the monotone corrected score statistics proposed by Kakizawa [Biometrika83 (1996) 923–927] and Cordeiro, Ferrari and Cysneiros [J. Stat. Comput. Simul.62 (1998) 123–136]. These corrected statistics are used to test the null hypothesis concerning some parameter of interest of an ARMA model, assumed to be Gaussian, stationary and invertible. We also consider the situations where nuisance parameters are present. The formulas are written in matrix form, appropriate for the use of symbolic or numerical languages. Some simulation results are also presented for the AR(1), MA(1) and ARMA(1, 1) models.
ISSN:0103-0752
2317-6199
DOI:10.1214/09-BJPS023