APPROXIMATE POWER OF HETEROSCEDASTICITY TEST IN NONLINEAR MODELS WITH ARIMA（0,1,0） ERRORS 被引量：1

APPROXIMATE POWER OF HETEROSCEDASTICITY TEST IN NONLINEAR MODELS WITH ARIMA（0,1,0） ERRORS

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摘要 This paper presents an approach for estimating power of the score test, based on an asymptotic approximation to the power of the score test under contiguous alternatives. The method is applied to the problem of power calculations for the score test of heteroscedasticity in European rabbit data （Ratkowsky, 1983）. Simulation studies are presented which indicate that the asymptotic approximation to the finite-sample situation is good over a wide range of parameter configurations. This paper presents an approach for estimating power of the score test, based on an asymptotic approximation to the power of the score test under contiguous alternatives. The method is applied to the problem of power calculations for the score test of heteroscedasticity in European rabbit data （Ratkowsky, 1983）. Simulation studies are presented which indicate that the asymptotic approximation to the finite-sample situation is good over a wide range of parameter configurations.

作者 Lin Jinguan Wei Bocheng Zhang Nansong

机构地区 Dept. of Math. Dept. of Math. Dept. of Math.

出处《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2005年第4期423-430,共8页 高校应用数学学报（英文版）（B辑）

基金 Supported by SSFC（04BTJ002）,the National Natural Science Foundation of China（10371016） and the Post-Doctorial Grant in Southeast University.

关键词 ARIMA （0 1 0） errors asymptotic approximation HETEROSCEDASTICITY local power nonlinear model score test. ARIMA （0, 1, 0） errors, asymptotic approximation, heteroscedasticity, local power,nonlinear model ,score test.

分类号 O241.5 [理学—计算数学]

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参考文献1

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