A simultaneous test in the presence of nested alternative hypotheses

1 January 1986

journal article
Published by Cambridge University Press (CUP) in Journal of Applied Probability

Vol. 23 (A) , 187-200
https://doi.org/10.2307/3214352

Abstract

This paper considers the generalized likelihood ratio (GLR) test or its modification dealing with nested models. The algorithm for evaluating the critical values and the error-rates for the canonical tests are provided; a table of critical values of a class of GLR tests is also given. The test proposed in the paper has applications in time-series model selection.

Keywords

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