clr.test: Conditional Likelihood Ratio Test

In sym.arma: Autoregressive and Moving Average Symmetric Models

Description

Likelihood ratio test for objects of class SYMARMA.

Usage

clr.test(model1, model2)

Arguments

model1, model2

two models of class SYMARMA having the same set of records and the same type (“family”).

Details

Likelihood ratio test checks the difference between -2*logLikelihood of the two models against the change in degrees of freedom using a chi-squared test. The records used in the dataset for both models MUST be the same.

Author(s)

Vinicius Quintas Souto Maior and Francisco Jose A. Cysneiros

Maintainer: Vinicius Quintas Souto Maior <[e-mail]>

Examples

serie <- symarma.sim(model=list(ar=c(0.2,0.5)),n=70,family="Normal",
 varphi=1)
model0 <- elliptical.ts(serie,order=c(2,0,0))
model1 <- elliptical.ts(serie,order=c(1,0,0))
clr.test(model0,model1)

Example output

Attaching package: 'sym.arma'

The following objects are masked from 'package:stats':

    influence, predict, qqplot

                               
Call:                          
symarma(2,0,0) - family: Normal
             
Coefficients:
          Estimate Std. Error
intercept  -0.7982     0.2956
ar1         0.3057     0.1211
ar2         0.3415     0.1241
                                                      
Varphi estimated: 0.7294  (Std. Error: 0.1251)        
Log-likelihood: -85.76                                
RMSE: 11.96                                           
Number of iterations in Fisher scoring optimization: 1
                                                      
                               
Call:                          
symarma(1,0,0) - family: Normal
             
Coefficients:
          Estimate Std. Error
intercept  -0.9077     0.2357
ar1         0.5300     0.1036
                                                      
Varphi estimated: 0.8467  (Std. Error: 0.1442)        
Log-likelihood: -92.17                                
RMSE: 31.95                                           
Number of iterations in Fisher scoring optimization: 1
                                                      
                      
Conditional ratio test
                         
LogLik-1   -85.762       
LogLik-2   -92.165       
Df         1             
Chisq      12.807        
Pr(>Chisq) 3.4526e-04 ***
                                                             
---                                                          
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

sym.arma documentation built on May 2, 2019, 8:30 a.m.