Discriminant Analysis for Regression Models with Stationary Long-Memory Disturbances

Guoqiang Zhang

Journal of Multivariate Analysis, 1997, vol. 60, issue 2, 177-187

Abstract: We shall consider the problems of classifying an observation from regression model with stationary long-memory or short-memory disturbances into one of two populations described by the mean functions of the model. We use the log-likelihood ratio as a discrimant statistic which is optimal in the sense of its minimizing the misclassification probabilities. Then we confirm the theoretical results by some simple polynomial regression models.

Keywords: discriminant; analysis; misclassification; probability; polynomial; regression; model; regression; model; stationary; long-memory; disturbances (search for similar items in EconPapers)
Date: 1997
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