Empirical likelihood inference for random coefficient INAR(p) process

被引：32
|
作者：
Zhang, Haixiang [1 ]
Wang, Dehui [1 ]
Zhu, Fukang [1 ]
机构：
[1] Jilin Univ, Inst Math, Changchun 130012, Peoples R China
来源：
JOURNAL OF TIME SERIES ANALYSIS | 2011年 / 32卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Models of count data; random coefficient; INAR process; empirical likelihood; asymptotic distribution; VALUED AUTOREGRESSIVE PROCESSES; PARTIAL LINEAR-MODELS; TIME-SERIES;
D O I：
10.1111/j.1467-9892.2010.00691.x
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this article, we study the empirical likelihood (EL) method for the pth-order random coefficient integer-valued autoregressive process. In particular, the limiting distribution of the log EL ratio statistic is established and the confidence regions for the parameter of interest are derived. Also a simulation study is conducted for the evaluation of the developed approach.
引用
收藏
页码：195 / 203
页数：9
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