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A simultaneous test in the presence of nested alternative hypotheses
Yuzo Hosoya
Journal:

Journal of Applied Probability / Volume 23 / Issue A / 1986

Published online by Cambridge University Press:

14 July 2016, pp. 187-200

Print publication:

1986
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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.

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A simultaneous test in the presence of nested alternative hypotheses