The efficiency of the likelihood ratio to choose between a t-distribution and a normal distribution
The efficiency of the likelihood ratio to choose between a t-distribution and a normal distribution
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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Contents
A decision must often be made between heavy-tailed and Gaussian errors for a regression or a time series model, and the t-distribution is frequently used when it is assumed that the errors are heavy-tailed distributed. The performance of the likelihood ratio to choose between the two distributions is investigated using entropy properties and a simu...
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The efficiency of the likelihood ratio to choose between a t-distribution and a normal distribution
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TN_cdi_proquest_journals_2081617661
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2081617661
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E-ISSN
2331-8422
