Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance
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 illus...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
|
| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/868970 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832550937402540032 |
|---|---|
| author | Jinyu Li Wei Liang Shuyuan He |
| author_facet | Jinyu Li Wei Liang Shuyuan He |
| author_sort | Jinyu Li |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-d142ec8177fe4f40bf2455af4cb104eb |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-d142ec8177fe4f40bf2455af4cb104eb2025-02-03T06:05:23ZengWileyJournal of Applied Mathematics1110-757X1687-00422014-01-01201410.1155/2014/868970868970Empirical Likelihood for Partial Parameters in ARMA Models with Infinite VarianceJinyu Li0Wei Liang1Shuyuan He2School of Sciences, China University of Mining and Technology, Xuzhou 221116, ChinaSchool of Mathematical Sciences, Xiamen University, Xiamen 361005, ChinaSchool of Mathematical Sciences, Capital Normal University, Beijing 100048, ChinaThis 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.http://dx.doi.org/10.1155/2014/868970 |
| spellingShingle | Jinyu Li Wei Liang Shuyuan He Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance Journal of Applied Mathematics |
| title | Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance |
| title_full | Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance |
| title_fullStr | Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance |
| title_full_unstemmed | Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance |
| title_short | Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance |
| title_sort | empirical likelihood for partial parameters in arma models with infinite variance |
| url | http://dx.doi.org/10.1155/2014/868970 |
| work_keys_str_mv | AT jinyuli empiricallikelihoodforpartialparametersinarmamodelswithinfinitevariance AT weiliang empiricallikelihoodforpartialparametersinarmamodelswithinfinitevariance AT shuyuanhe empiricallikelihoodforpartialparametersinarmamodelswithinfinitevariance |