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Power divergence family of tests for categorical time series models

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Power divergence family of tests for categorical time series models. / Fokianos, K.
In: Annals of the Institute of Statistical Mathematics, Vol. 54, No. 3, 09.2002, p. 543-564.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Fokianos, K 2002, 'Power divergence family of tests for categorical time series models', Annals of the Institute of Statistical Mathematics, vol. 54, no. 3, pp. 543-564. https://doi.org/10.1023/A:1022459010316

APA

Fokianos, K. (2002). Power divergence family of tests for categorical time series models. Annals of the Institute of Statistical Mathematics, 54(3), 543-564. https://doi.org/10.1023/A:1022459010316

Vancouver

Fokianos K. Power divergence family of tests for categorical time series models. Annals of the Institute of Statistical Mathematics. 2002 Sept;54(3):543-564. doi: 10.1023/A:1022459010316

Author

Fokianos, K. / Power divergence family of tests for categorical time series models. In: Annals of the Institute of Statistical Mathematics. 2002 ; Vol. 54, No. 3. pp. 543-564.

Bibtex

@article{9d51329ff0804bac8cb58cfcded79bed,
title = "Power divergence family of tests for categorical time series models",
abstract = "A fundamental issue that arises after fitting a regression model is that of testing the goodness of the fit. Our work brings together the power divergence family of goodness of fit tests and regression models for categorical time series. We show that under some reasonable assumptions, the asymptotic distribution of the power divergence family of goodness of fit tests converges to a normal random variable. This fact introduces a novel method for carrying out goodness of fit tests about a regression model for categorical time series. We couple the theory with some empirical results.",
keywords = "Stochastic time dependent covariates, partial likelihood , martingale, logistic regression, multinomial logits , proportional odds, power ",
author = "K. Fokianos",
year = "2002",
month = sep,
doi = "10.1023/A:1022459010316",
language = "English",
volume = "54",
pages = "543--564",
journal = "Annals of the Institute of Statistical Mathematics",
issn = "0020-3157",
publisher = "Springer Netherlands",
number = "3",

}

RIS

TY - JOUR

T1 - Power divergence family of tests for categorical time series models

AU - Fokianos, K.

PY - 2002/9

Y1 - 2002/9

N2 - A fundamental issue that arises after fitting a regression model is that of testing the goodness of the fit. Our work brings together the power divergence family of goodness of fit tests and regression models for categorical time series. We show that under some reasonable assumptions, the asymptotic distribution of the power divergence family of goodness of fit tests converges to a normal random variable. This fact introduces a novel method for carrying out goodness of fit tests about a regression model for categorical time series. We couple the theory with some empirical results.

AB - A fundamental issue that arises after fitting a regression model is that of testing the goodness of the fit. Our work brings together the power divergence family of goodness of fit tests and regression models for categorical time series. We show that under some reasonable assumptions, the asymptotic distribution of the power divergence family of goodness of fit tests converges to a normal random variable. This fact introduces a novel method for carrying out goodness of fit tests about a regression model for categorical time series. We couple the theory with some empirical results.

KW - Stochastic time dependent covariates

KW - partial likelihood

KW - martingale

KW - logistic regression

KW - multinomial logits

KW - proportional odds

KW - power

U2 - 10.1023/A:1022459010316

DO - 10.1023/A:1022459010316

M3 - Journal article

VL - 54

SP - 543

EP - 564

JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

SN - 0020-3157

IS - 3

ER -