Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models

A New Approximation for the Null Distribution of the Likelihood Ratio Test Statistics for k Outliers in a Normal Sample

Usually when performing a statistical test or estimation procedure, we assume the data are all observations of i.i.d. random variables, often from a normal distribution. Sometimes, however, we notice in a sample one or more observations that stand out from the crowd. These observation(s) are commonly called outlier(s). Outlier tests are more formal procedures which have been developed for detec...

Modified Likelihood Ratio Test for Regime Switching

This paper proposes a modified quasi-likelihood test of Markov regime switching models. Despite its popularity in economics and finance, there are few papers that develop tests for regime switching models. Recently, Cho and White (2007) derive the asymptotic distribution of the quasi-likelihood ratio (QLR) statistic of Markov regime switching models with a scalar parameter. The asymptotic distr...

Likelihood-ratio tests for hidden Markov models.

We consider hidden Markov models as a versatile class of models for weakly dependent random phenomena. The topic of the present paper is likelihood-ratio testing for hidden Markov models, and we show that, under appropriate conditions, the standard asymptotic theory of likelihood-ratio tests is valid. Such tests are crucial in the specification of multivariate Gaussian hidden Markov models, whi...

A note on the asymptotic distribution of likelihood ratio tests to test variance components.

When using maximum likelihood methods to estimate genetic and environmental components of (co)variance, it is common to test hypotheses using likelihood ratio tests, since such tests have desirable asymptotic properties. In particular, the standard likelihood ratio test statistic is assumed asymptotically to follow a chi2 distribution with degrees of freedom equal to the number of parameters te...

Asymptotic Distribution of P Values in Composite Null Models