clr.test {sym.arma}

Conditional Likelihood Ratio Test

Description

Likelihood ratio test for objects of class SYMARMA.

Usage

clr.test(model1, model2)

Arguments

model1, model2

two models of class SYMARMA having the same set of records and the same type (“family”).

Details

Likelihood ratio test checks the difference between -2*logLikelihood of the two models against the change in degrees of freedom using a chi-squared test. The records used in the dataset for both models MUST be the same.

Author(s)

Vinicius Quintas Souto Maior and Francisco Jose A. Cysneiros

Maintainer: Vinicius Quintas Souto Maior <[e-mail]>

Examples

serie <- symarma.sim(model=list(ar=c(0.2,0.5)),n=70,family="Normal",
 varphi=1)
model0 <- elliptical.ts(serie,order=c(2,0,0))
model1 <- elliptical.ts(serie,order=c(1,0,0))
clr.test(model0,model1)