Empirical likelihood inference for random coefficient INAR(p) process

被引：32

作者：

Zhang, Haixiang ^{[1
]}

Wang, Dehui ^{[1
]}

Zhu, Fukang ^{[1
]}

机构：

[1] Jilin Univ, Inst Math, Changchun 130012, Peoples R China

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2011年 / 32卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Models of count data; random coefficient; INAR process; empirical likelihood; asymptotic distribution; VALUED AUTOREGRESSIVE PROCESSES; PARTIAL LINEAR-MODELS; TIME-SERIES;

D O I：

10.1111/j.1467-9892.2010.00691.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this article, we study the empirical likelihood (EL) method for the pth-order random coefficient integer-valued autoregressive process. In particular, the limiting distribution of the log EL ratio statistic is established and the confidence regions for the parameter of interest are derived. Also a simulation study is conducted for the evaluation of the developed approach.

引用

页码：195 / 203

页数：9

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