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2021 | OriginalPaper | Buchkapitel

5. Adjustments for Variance Component Tests in ANOVA Models

verfasst von : Fumiya Akashi, Masanobu Taniguchi, Anna Clara Monti, Tomoyuki Amano

Erschienen in: Diagnostic Methods in Time Series

Verlag: Springer Singapore

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Abstract

This chapter focuses on the test for variance components in ANOVA models. Under the null hypothesis, the parameter of interest occurs on the boundary of the parameter space, hence the likelihood ratio and the Wald statistic fail to have the usual asymptotic \(\chi ^2\) distribution. The asymptotic distribution is instead a mixture of a \(\chi ^2_1\) and 0 with mixing probability \(\pi _0\) different from 1/2. The chapter develops the Bartlett correction for the Likelihood Ratio statistic under nonstandard conditions. Furthermore, it proposes an adjustment of the Wald and modified Wald statistic which makes these statistics Bartlett correctable. The accuracy of the asymptotic approximation in finite samples is investigated through numerical experiments which provide clear evidence of their quality.

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Vorheriges Kapitel Adjustments for a Class of Tests Under Nonstandard Conditions

Nächstes Kapitel Robust Causality Test of Infinite Variance Processes

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Titel: Adjustments for Variance Component Tests in ANOVA Models
verfasst von: Fumiya Akashi
Masanobu Taniguchi
Anna Clara Monti
Tomoyuki Amano
Verlag: Springer Singapore
Buch: Diagnostic Methods in Time Series
Print ISBN: 978-981-16-2263-2

Electronic ISBN: 978-981-16-2264-9

Copyright-Jahr: 2021
DOI: https://doi.org/10.1007/978-981-16-2264-9_5

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