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Li, Jinyu; Liang, Wei; He, Shuyuan

Empirical likelihood for partial parameters in ARMA models with infinite variance. (English) Zbl 1442.62201

J. Appl. Math. 2014, Article ID 868970, 10 p. (2014).
Summary: 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.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05 Nonparametric estimation
62G15 Nonparametric tolerance and confidence regions
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\textit{J. Li} et al., J. Appl. Math. 2014, Article ID 868970, 10 p. (2014; Zbl 1442.62201)
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