GeneralizedLikelihoodRatioTestExamplea.k.a.Toomuchforinclass…butcertainlyworthmakingsureyoucandoeachstep!ConsidertestingH0:µ≤µ0vs.HA..
26阅读文档大小:200.78K19页batuhao上传于2014-11-01格式:PDF Generalized Likelihood Ratio Test Example:广义似然比检验的例子 热度: Likelihood Ratio Tests for Detecting Positive Selection and 似然比检测正选择 热度: Maximum likelihood estimate:最大似然估计 ...
Copy CodeCopy Command This example shows how to compare two competing, conditional variance models using a likelihood ratio test. Step 1. Load the data and specify a GARCH model. Load the Deutschmark/British pound foreign exchange rate data included with the toolbox, and convert it to returns...
This example illustrates how the likelihood ratio statistic can be used. Let , that is, the parameter space is the set of all -dimensional real vectors. Denote the three entries of the true parameter by , and . The restrictions to be tested areso that is a function defined by ...
A classical example is testing for a disease. The subject tests positive for the disease, under a test that has a true positive rate of 60% (only 60% of the afflicted trigger a positive response for the disease) and a false positive rate of 1% (1% of healthy people trigger a positive...
For example confidence intervals of estimated parameters rely on the statistical properties of the likelihood-ratio test. However, it is often overlooked that these intervals sizes rely on assumptions on the amounts of data, which are regularly violated in typical appli...
Example 9.2 Likelihood Ratio Test for the Order of a Markov Chain To illustrate the application of Equations 9.13, consider a likelihood ratio test of first-order dependence of the binary time series in Table 9.1, versus the null hypothesis of zero serial correlation. The test involves computation...
Likelihood Ratio Test The Likelihood Ratio(LR) test is based on the concept of F test in a linear model. The F test measures the increase in the sum of squared residuals when variables are dropped from the model. Let’s have a non-statistical example. Suppose you are one of 11 soccer ...
The results inTable 4.1show that our expectations about the LR test are confirmed. The LR test is powerful against departures fromH0a, and (as we would also expect) its power rises with the sample size. For example, with a sample sizen =1000, the power of the test against each of the...
Example(s): a Predictive Log-Likelihood. a Log Likelihood-based Objective Function. … Counter-Example(s): a Likelihood Ratio Test. a Negative Log-Likelihood. a Log Odds Ratio. See: Maximum-Likelihood Estimation, Expected Maximum Log Likelihood Estimation. References 2014 http://en.wikipedia....