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Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance
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نویسنده
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li j. ,liang w. ,he s.
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منبع
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journal of applied mathematics - 2014 - دوره : 2014 - شماره : 0
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چکیده
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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. © 2014 jinyu li et al.
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آدرس
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school of sciences,china university of mining and technology, China, school of mathematical sciences,xiamen university, China, school of mathematical sciences,capital normal university, China
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Authors
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