Discriminant analysis for regression models with stationary long-memory disturbances

[摘要] We shah 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. (C) 1997 Academic Press.

[发布日期] 1997-02-01

[关键词] discriminant analysis;misclassification probability;polynomial regression model;regression model;stationary long-memory disturbances