Browsing Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics by Author "Lee, S.-J."
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Article
A divergence test for autoregressive time series models
Lee, S.-J.; Karagrigoriou, Alex (2011)In this paper, we study the normality test for the innovations of unstable autoregressive models based on the divergence test. In order to investigate the asymptotic behavior of the tests, we use the link between the ...
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Article
A maximum entropy type test of fit
Lee, S.-J.; Vonta, Filia; Karagrigoriou, Alex (2011)In this paper, we propose a test of fit based on maximum entropy. The asymptotic distribution of the proposed test statistic is established and a corrected form for small and medium sample sizes is furnished. The performance ...
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Article
A model selection criterion based on the BHHJ measure of divergence
Mattheou, K.; Lee, S.-J.; Karagrigoriou, Alex (2009)The aim of this work is the discussion and investigation of measures of divergence and model selection criteria. A recently introduced measure of divergence, the so-called BHHJ measure (Basu, A., Harris, I.R., Hjort, N.L., ...