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Discriminant Analysis for Regression Models with Stationary Long-Memory Disturbances

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  • Zhang, Guoqiang

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.

Suggested Citation

  • Zhang, Guoqiang, 1997. "Discriminant Analysis for Regression Models with Stationary Long-Memory Disturbances," Journal of Multivariate Analysis, Elsevier, vol. 60(2), pages 177-187, February.
    • Handle: RePEc:eee:jmvana:v:60:y:1997:i:2:p:177-187
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