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	Empirical likelihood for LAD estimators in infinite variance ARMA models
	Li, Jinyu ; Liang, Wei ; He, Shuyuan
	2011
关键词	ARMA model Infinite variance Empirical likelihood LAD estimation TIME-SERIES CONFIDENCE-REGIONS
英文摘要	In this paper, we use an empirical likelihood method to construct confidence regions for the stationary ARMA(p, q) models with infinite variance. An empirical log-likelihood ratio is derived by the estimating equation of the self-weighted LAD estimator. It is proved that the proposed statistic has an asymptotic standard chi-squared distribution. Simulation studies show that in a small sample case, the performance of empirical likelihood method is better than that of normal approximation of the LAD estimator in terms of the coverage accuracy. (C) 2010 Elsevier B.V. All rights reserved.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000287109500007&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Statistics & Probability; SCI(E); 1; ARTICLE; 2; 212-219; 81
语种	英语
出处	SCI
出版者	statistics probability letters
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/242710]
专题	数学科学学院
推荐引用方式 GB/T 7714	Li, Jinyu,Liang, Wei,He, Shuyuan. Empirical likelihood for LAD estimators in infinite variance ARMA models. 2011-01-01.

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