Empirical Likelihood for an Autoregressive Model with Explanatory Variables

被引：15

作者：

Zhao, Zhi-Wen ^{[1
,2
]}

Wang, De-Hui ^{[1
]}

机构：

[1] Jilin Normal Univ, Coll Math, Siping 136000, Peoples R China

[2] Jilin Univ, Coll Math, Changchun 130023, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Asymptotic normality; Autoregressive model; Confidence region; Empirical likelihood; Least squares estimation; SERIES REGRESSION-MODELS; OF-FIT TEST; TIME-SERIES; CONFIDENCE-REGIONS;

D O I：

10.1080/03610920903411267

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we use the empirical likelihood method to construct the confidence region for parameters in autoregressive model with martingale difference error. It is shown that the empirical log-likelihood ratio at the true parameter converges to the standard chi-square distribution. The simulation results suggest that the empirical likelihood method outperforms the normal approximation based method in terms of coverage probability.

引用

页码：559 / 570

页数：12

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