On limiting likelihood ratio processes of some change-point type statistical models
نویسندگان
چکیده
منابع مشابه
on some bayesian statistical models in actuarial science with emphasis on claim count
چکیده ندارد.
15 صفحه اولOn marginal likelihood computation in change-point models
Change-point models are useful for modeling times series subject to structural breaks. For interpretation and forecasting, it is essential to estimate correctly the number of change points in this class of models. In Bayesian inference, the number of changepoints is typically chosen by the marginal likelihood criterion, computed by Chib’s method. This method requires to select a value in the pa...
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We consider the likelihood ratio test for a change point or lag of the eeect of some covariates (e.g. treatment) in regression modeling of survival data subject to right censoring. Asymptotic distributions under null hypotheses are derived. Numerical examples are used to illustrate the implementation of the procedure. Finally we apply the theory to data from a large randomized cancer prevention...
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We calculate the finite sample probability mass-at-zero and the probability of underestimating the true ratio between random effects variance and error variance in a LMM with one variance component. The calculations are expedited by simple matrix diagonalization techniques. One possible application is to compute the probability that the log of the likelihood ratio (LRT), or residual likelihood ...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2010
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2010.03.030