Statistics and Its Interface
Volume 4 (2011)
Testing for measurement errors with discrete-time data sampled from a CARMA model
Pages: 235 – 242
We consider the problem of testing for measurement errors with discrete-time data sampled from a continuoustime autoregressive moving-average process. We develop an efficient algorithm for computing the likelihood ratio test (LRT) statistic, and derive the non-standard asymptotic null distribution of the LRT. The efficacy of the proposed test is illustrated by simulations and a real application from an environmental study.
forecasting, Gaussian distribution, Kalman filter, likelihood ratio test, non-standard asymptotics
Published 22 June 2011