caa a22 4500 475793439 CHVBK 20180406123716.0 cr unu---uuuuu 170329e20001201xx s 000 0 eng 10.1007/s001840000060 doi (NATIONALLICENCE)springer-10.1007/s001840000060 Extension of the Wald statistic to models with dependent observations [Elektronische Daten] [D. Morales, L. Pardo, M. C. Pardo, I. Vajda] Abstract.: A generalization of the Wald statistic for testing composite hypotheses is suggested for dependent data from exponential models which include Lévy processes and diffusion fields. The generalized statistic is proved to be asymptotically chi-squared distributed under regular composite hypotheses. It is simpler and more easily available than the generalized likelihood ratio statistic. Simulations in an example where the latter statistic is available show that the generalized Wald test achieves higher average power than the generalized likelihood ratio test. Springer-Verlag Berlin Heidelberg, 2000 Key words: Composite parametric hypotheses, Generalized likelihood ratio statistic, Generalized Wald statistic, Convergent exponential models, Lévy processes, Diffusion fields nationallicence Morales D. Operations Research Center, Miguel Hernández University of Elche, Elche aut Pardo L. Department of Statistics & O. R., Complutense University of Madrid, 28040 Madrid, Spain, ES aut Pardo M. C. Department of Statistics & O. R., Complutense University of Madrid, 28040 Madrid, Spain, ES aut Vajda I. Institute of Information Theory, Academy of Sciences of the Czech Republic, Prague, CZ aut https://doi.org/10.1007/s001840000060 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s001840000060 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Morales D. Operations Research Center, Miguel Hernández University of Elche, Elche aut NATIONALLICENCE 700 1- Pardo L. Department of Statistics & O. R., Complutense University of Madrid, 28040 Madrid, Spain, ES aut NATIONALLICENCE 700 1- Pardo M. C. Department of Statistics & O. R., Complutense University of Madrid, 28040 Madrid, Spain, ES aut NATIONALLICENCE 700 1- Vajda I. Institute of Information Theory, Academy of Sciences of the Czech Republic, Prague, CZ aut Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer