Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance

Jinyu Li, Wei Liang and Shuyuan He

Journal of Applied Mathematics, 2014, vol. 2014, issue 1

Abstract: 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.

Date: 2014
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https://doi.org/10.1155/2014/868970

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2014:y:2014:i:1:n:868970

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