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http://dx.doi.org/10.7465/jkdi.2013.24.3.637

Maximum entropy test for infinite order autoregressive models  

Lee, Sangyeol (Department of Statistics, Seoul National University)
Lee, Jiyeon (Department of Statistics, Seoul National University)
Noh, Jungsik (Department of Statistics, Seoul National University)
Publication Information
Journal of the Korean Data and Information Science Society / v.24, no.3, 2013 , pp. 637-642 More about this Journal
Abstract
In this paper, we consider the maximum entropy test in in nite order autoregressiv models. Its asymptotic distribution is derived under the null hypothesis. A bootstrap version of the test is discussed and its performance is evaluated through Monte Carlo simulations.
Keywords
Goodness of fit test; infinite order autoregressive models; maximum entropy measure;
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Times Cited By KSCI : 1  (Citation Analysis)
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