Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance

被引：0

作者：

Li, Jinyu ^{[1
]}

Liang, Wei ^{[2
]}

He, Shuyuan ^{[3
]}

机构：

[1] China Univ Min & Technol, Sch Sci, Xuzhou 221116, Peoples R China

[2] Xiamen Univ, Sch Math Sci, Xiamen 361005, Peoples R China

[3] Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China

来源：

JOURNAL OF APPLIED MATHEMATICS | 2014年

基金：

中国国家自然科学基金;

关键词：

LAD ESTIMATORS; TIME-SERIES;

D O I：

10.1155/2014/868970

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper proposes a profile empirical likelihood for the partial parameters in ARMA(p, q) models with infinite variance. We introduce a smoothed empirical log-likelihood ratio statistic. Also, the paper proves a nonparametric version of Wilks's theorem. Furthermore, we conduct a simulation to illustrate the performance of the proposed method.

引用

页数：10

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