頁籤選單縮合
| 題 名 | Empirical Likelihood for Autoregressive Models, with Applications to Unstable Time Series |
|---|---|
| 作 者 | Chuang,Chin-shan; Chan,Ngai Hang; | 書刊名 | Statistica Sinica |
| 卷 期 | 12:2 2002.04[民91.04] |
| 頁 次 | 頁387-407 |
| 分類號 | 319.5 |
| 關鍵詞 | Empirical likelihood; Dual likelihood; Autoregressive models; Unit root tests; |
| 語 文 | 英文(English) |
| 英文摘要 | Empirical likelihood is developed for autoregressive models with innovations that form a martingale difference sequence. Limiting distributions of the log empirical likelihood ratio statistic for both the stable and unstable cases are established. Behavior of the log empirical likelihood ratio statistic is considered in early nonstationary models to assess the local power of unit root tests and to construct confidence intervals. Resembling methods are proposed to improve the finite-sample performance of empirical likelihood statistics. This paper shows that empirical likelihood methodology compares favorable with existing methods and demonstrates its potential for time series with more general innvation structures. |
本系統中英文摘要資訊取自各篇刊載內容。