Discriminant Analysis for Regression Models with Stationary Long-Memory Disturbances |
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Authors: | Guoqiang Zhang |
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Affiliation: | Komazawa University, Tokyo, Japan |
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Abstract: | We shall consider the problems of classifying an observation from regression model with stationary long-memory or short-memory disturbances into one of two populations described by the mean functions of the model. We use the log-likelihood ratio as a discrimant statistic which is optimal in the sense of its minimizing the misclassification probabilities. Then we confirm the theoretical results by some simple polynomial regression models. |
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Keywords: | discriminant analysis misclassification probability polynomial regression model regression model stationary long-memory disturbances |
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