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  • The problem of testing for equality of autocorrelation coefficients of two populations in multivariate data when errors are autocorrelated is considered. We derive Rényi statistics defined as divergences between unrestricted and restricted estimated joint probability density functions and we show that they are asymptotically chi-square distributed under the null hypothesis of interest. Monte Carlo simulation experiments are carried out to investigate the behavior of Rényi statistics and to make comparisons with test statistics based on the approach of Bhandary (2005). Rényi statistics showed to have significantly better small sample behavior.
  • The problem of testing for equality of autocorrelation coefficients of two populations in multivariate data when errors are autocorrelated is considered. We derive Rényi statistics defined as divergences between unrestricted and restricted estimated joint probability density functions and we show that they are asymptotically chi-square distributed under the null hypothesis of interest. Monte Carlo simulation experiments are carried out to investigate the behavior of Rényi statistics and to make comparisons with test statistics based on the approach of Bhandary (2005). Rényi statistics showed to have significantly better small sample behavior. (en)
  • Je uvažován problém testování rovnosti autokorelačních koeficientů dvou populací v mnohorozměrných datech. Je odvozena Rényiho statistika definovaná jako divergence mezi zúženým a nezúženým odhadem sdružené hustoty pravděpodobnosti a je ukázáno, že má za platnosti nulové hypotézy asymptoyicky chí-kvadrát rozdělení. Praktické chování Rényiho statistik je zkoumáno pomocí simulační studie a je porovnáno se statistikami založenými na přístupu práce Bhandary (2005). Rényiho statistiky dosáhly významně lepších výsledků pro malé rozsahy výběrů. (cs)
Title
  • Testing equality of autocorrelation coefficients in multivariate normal models
  • Testing equality of autocorrelation coefficients in multivariate normal models (en)
  • Testy rovnosti autokorelačních koeficientů v mnohorozměrných normálních modelech (cs)
skos:prefLabel
  • Testing equality of autocorrelation coefficients in multivariate normal models
  • Testing equality of autocorrelation coefficients in multivariate normal models (en)
  • Testy rovnosti autokorelačních koeficientů v mnohorozměrných normálních modelech (cs)
skos:notation
  • RIV/68407700:21340/07:04135616!RIV09-MSM-21340___
http://linked.open...avai/riv/aktivita
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  • Z(MSM6840770039)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
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  • 454815
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  • RIV/68407700:21340/07:04135616
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  • Rényi divergence; autocorrelation coefficient; likelihood divergence statistics; normal multivariate distribution; testing hypothesis (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [22442B270672]
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Hobza, Tomáš
  • Morales, D.
  • Pardo, L.
http://linked.open...n/vavai/riv/zamer
http://localhost/t...ganizacniJednotka
  • 21340
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