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Local Powers of the MLE-Based Test for the Panel Fractional Ornstein-Uhlenbeck Process
http://hdl.handle.net/10959/00005055
http://hdl.handle.net/10959/000050554de16c07-20a7-460e-81a1-69f031797cd8
名前 / ファイル | ライセンス | アクション |
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keizaironsyu_57_4_169_182.pdf (1.4 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2021-08-25 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Local Powers of the MLE-Based Test for the Panel Fractional Ornstein-Uhlenbeck Process | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者 |
田中, 勝人
× 田中, 勝人× Tanaka, Katsuto |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We consider the testing problem associated with the panel or longitudinal fractional Ornstein-Uhlenbeck (fO-U) processes driven by independent fractional Brownian motions (fBms), where the sign of the drift parameter of each fO-U process is tested, assuming that the Hurst parameter H is known. Since the test has a trivial consistent property against a fixed alternative, we employ the local alternative hypothesis that the drift parameter is close to the null in the order of 1/(TN ), where T is the sampling span and N is the cross section dimension with 0 < η < 1. Then, for a given value of H, we compute the local power as N increases with any T. | |||||
書誌情報 |
ja : 學習院大學經濟論集 en : The journal of Faculty of Economics, Gakushuin University 巻 57, 号 4, p. 169-182, 発行日 2021-02 |
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出版者 | ||||||
言語 | ja | |||||
出版者 | 学習院大学経済学会 | |||||
ISSN | ||||||
収録物識別子タイプ | PISSN | |||||
収録物識別子 | 00163953 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00038827 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 |