Discriminant Analysis for Regression Models with Stationary Long-Memory Disturbances

We shall consider the problems of classifying an observation from regression model with stationary long-memory or short-memory disturbances into one of two populations described by the mean functions of the model. We use the log-likelihood ratio as a discrimant statistic which is optimal in the sense of its minimizing the misclassification probabilities. Then we confirm the theoretical results by some simple polynomial regression models.

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Year of publication:	1997
Authors:	Zhang, Guoqiang
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 60.1997, 2, p. 177-187
Publisher:	Elsevier
Keywords:	discriminant analysis misclassification probability polynomial regression model regression model stationary long-memory disturbances

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221748