| bibtype |
J -
Journal Article
|
| ARLID |
0332408 |
| utime |
20240903144141.8 |
| mtime |
20091202235959.9 |
| DOI |
10.1016/j.stamet.2009.03.001 |
| title
(primary) (eng) |
Rényi statistics for testing equality of autocorrelation coefficients |
| specification |
| page_count |
13 s. |
| media_type |
www |
|
| serial |
| ARLID |
cav_un_epca*0332403 |
| ISSN |
1572-3127 |
| title
|
Statistical Methodology |
| volume_id |
6 |
| volume |
4 (2009) |
| page_num |
424-436 |
| publisher |
|
|
| title
(cze) |
Rényiho statistiky pro testování rovnosti autokorelačních koeficientů |
| keyword |
Rényi divergence |
| keyword |
Likelihood divergence statistics |
| keyword |
Testing hypothesis |
| keyword |
Autocorrelation coefficient |
| author
(primary) |
| ARLID |
cav_un_auth*0101108 |
| name1 |
Hobza |
| name2 |
Tomáš |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0021073 |
| name1 |
Pardo |
| name2 |
L. |
| country |
ES |
|
| author
|
| ARLID |
cav_un_auth*0015540 |
| name1 |
Morales |
| name2 |
D. |
| country |
ES |
|
| source |
|
| cas_special |
| project |
| project_id |
1M0572 |
| agency |
GA MŠk |
| ARLID |
cav_un_auth*0001814 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| abstract
(cze) |
Je uvažován problém testování rovnosti autokorelačních koeficientů dvou vícerozměrných výběrů dat. Je odvozena Rényiho statistika, definovaná jako divergence mezi zúženou a nezúženou věrohodnostní funkcí, a je ukázáno, že má za předpokladu platnosti nulové hypotézy chí-kvadrát rozdělení. Na základě Monte Carlo simulačních studií je zkoumáno chování Rényiho statistik a je porovnáno se statistikami založenými na přístupu práce 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] ke zkoumané problematice. Ukazuje se, že Rényiho statistiky mají významně lepší chování. |
| reportyear |
2010 |
| RIV |
BB |
| permalink |
http://hdl.handle.net/11104/0177679 |
| mrcbT16-q |
13 |
| mrcbT16-s |
0.250 |
| mrcbT16-y |
18.67 |
| mrcbT16-x |
0.38 |
| arlyear |
2009 |
| mrcbU56 |
pdf |
| mrcbU63 |
cav_un_epca*0332403 Statistical Methodology 1572-3127 1878-0954 Roč. 6 č. 4 2009 424 436 Elsevier |
|