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.
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页数：10
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