Testing for measurement errors with discrete-time data sampled from a CARMA model

Henghsiu Tsai; Kung Sik Chan; Patrick Fayard

doi:10.4310/SII.2011.v4.n2.a17

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Testing for measurement errors with discrete-time data sampled from a CARMA model

Journal article

Open access

Testing for measurement errors with discrete-time data sampled from a CARMA model

Henghsiu Tsai, Kung Sik Chan and Patrick Fayard

Statistics and its interface, Vol.4(2), pp.235-242

2011

DOI: 10.4310/SII.2011.v4.n2.a17

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Abstract

We consider the problem of testing for measurement errors with discrete-time data sampled from a continuoustime autoregressive moving-average process. We develop an efficient algorithm for computing the likelihood ratio test (LRT) statistic, and derive the non-standard asymptotic null distribution of the LRT. The efficacy of the proposed test is illustrated by simulations and a real application from an environmental study.

Details

Title: Subtitle: Testing for measurement errors with discrete-time data sampled from a CARMA model
Creators: Henghsiu Tsai
Kung Sik Chan
Patrick Fayard
Resource Type: Journal article
Publication Details: Statistics and its interface, Vol.4(2), pp.235-242
DOI: 10.4310/SII.2011.v4.n2.a17
ISSN: 1938-7997
eISSN: 1938-7997
Language: English
Date published: 2011
Academic Unit: Statistics and Actuarial Science; Radiology
Record Identifier: 9983985931602771

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