Likelihood Ratio Test and Non-parametric Test for Load Sharing

1 Likelihood Ratio Test ( LRT

Generalized Likelihood Ratio Test for Selecting

A generalized likelihood ratio test is considered for testing acoustic propagation models in the context of environmental parameter inversion. In the following, we use the term \hierarchy of models" to denote a sequence of model structures M1;M2;... in which each particular model structure Mn contains all previous ones as special cases. We propose a combined parameter estimation and multiple se...

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...

An Empirical Likelihood Ratio Test for Normality

The empirical likelihood ratio (ELR) test for the problem of testing for normality is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using the Monte Carlo simulation technique. The power comparisons against a wide range of alternative distributions show that the ELR test is the most powerful of these tests in certain s...

The Laplace Likelihood Ratio Test for Heteroscedasticity

It is shown that the likelihood ratio test for heteroscedasticity, assuming the Laplace distribution, gives good results for Gaussian and fat-tailed data. The likelihood ratio test, assuming normality, is very sensitive to any deviation from normality, especially when the observations are from a distribution with fat tails. Such a likelihood test can also be used as a robust test for a constant...