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| HAL : hal-00110633, version 1 |
| Fiche détaillée |  Récupérer au format |
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| The canadian journal of statistics 24, 1 (1996) 115-130 |
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| Test de différence de contrastes et somme pondérée de khi-deux |
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| Samuel Bayomog 1Cécile Hardouin 1 |
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| (1996) |
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| After recalling the framework of minimum-contrast estimation, its consistency and its asymptotic normality, we highlight the fact that these results do not require any stationarity or ergodicity assumptions. The asymptotic distribution of the underlying contrast difference test is a weighted sum of independent chi-square variables having one degree of freedom each. We illustrate these results in three contexts: (1) a nonhomogeneous Markov chain with likelihood contrast; (2) a Markov field with coding, pseudolikelihood or likelihood contrasts; (3) a not necessarily Gaussian time series with Whittle's contrast. In contexts (2) and (3), we compare experimentally the power of the likelihood-ratio test with those of other contrast-difference tests |
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| 1 : | Statistique Appliquée et MOdélisation Stochastique (SAMOS) |
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Université Paris I - Panthéon-Sorbonne |
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| 2 : | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
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| Domaine | : | Mathématiques/Statistiques Statistiques/Théorie |
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| Minimum-contrast estimation – contrast-difference test – inhomogeneous Markov chain – coding – conditional pseudolikelihood – Whittle's contrast |
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| hal-00110633, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00110633 | |
| oai:hal.archives-ouvertes.fr:hal-00110633 | |
| Contributeur : Cécile Hardouin | |
| Soumis le : Mardi 31 Octobre 2006, 11:50:52 | |
| Dernière modification le : Vendredi 19 Mars 2010, 09:52:30 | |
