带有Markov型误差的线性模型的假设检验

摘要

In this paper, we study the hypothesis testing for the homogeneity of the Markov chain of the errors in linear models. By using the quasi-maximum likelihood estimates (QMLEs) of some unknown parameter and the methods of martingale-difference, the limiting distribution for likelihood ratio test statistics is obtained.%本文研究线性模型中关于误差Markov链齐次性的假设检验问题. 利用关于未知参数的拟极大似然估计和鞅差方法,获得了似然比检验统计量的极限分布.