| APPROXIMATE POWER OF HETEROSCEDASTICITY TEST IN NONLINEAR MODELS WITH ARIMA（0,1,0） ERRORS |
| |
| 作者姓名： | Lin Jinguan Wei Bocheng Zhang Nansong |
| |
| 作者单位： | [1]Dept. of Math. , Southeast Univ. , Nanjing 210096,China. [2]Dept. of Math. , Jiangsu Institute of Education,Naniing 210013,China. [3]Dept. of Math. , Zhejiang Univ. , Hangzhou 310027,China. |
| |
| 基金项目： | Supported by SSFC（04BTJ002）,the National Natural Science Foundation of China（10371016） and the Post-Doctorial Grant in Southeast University. |
| |
| 摘 要： | This paper presents an approach for estimating power of the score test, based on an asymptotic approximation to the power of the score test under contiguous alternatives. The method is applied to the problem of power calculations for the score test of heteroscedasticity in European rabbit data （Ratkowsky, 1983）. Simulation studies are presented which indicate that the asymptotic approximation to the finite-sample situation is good over a wide range of parameter configurations.
|
| 关 键 词： | ARIMA误差 渐进线逼近 异方差性 非线性模型 有限样本 |
| 收稿时间： | 2004-12-27 |
Approximate power of heteroscedasticity test in nonlinear models with arima (0,1,0) errors |
| |
| Lin Jinguan Wei Bocheng Zhang Nansong.Approximate power of heteroscedasticity test in nonlinear models with arima (0,1,0) errors[J].Applied Mathematics A Journal of Chinese Universities,2005,20(4):423-430. |
| |
| Authors: | Lin Jinguan Wei Bocheng Zhang Nansong |
| |
| Institution: | (1) Dept. of Math., Southeast Univ., 210096 Nanjiang, China;(2) Dept. of Math., Jiangsu Institute of Education, 210013 Nanjing, China;(3) Dept. of Math., Zhejiang Univ., 310027 Hangzhou, China |
| |
| Abstract: | . This paper presents an approach for estimating power of the score test,based on an asymptotic approximation to the power of the score test under contiguous alternatives.The method is applied to the problem of power calculations for the score test of heteroscedasticity in European rabbit data(Ratkowsky,1983).Simulation studies are presented which indicate that the asymptotic approximation to the finite-sample situation is good over a wide range of parameter configurations. |
| |
| Keywords: | ARIMA(0 1 0) errors asymptotic approximation heteroscedasticity local power nonlinear model score test |
| 本文献已被 CNKI 维普 SpringerLink 等数据库收录！ |
