Empirical Likelihood for an Autoregressive Model with Explanatory Variables

被引：14
|
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.
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页码：559 / 570
页数：12
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