Empirical likelihood for moving average models

Yinghua Li and Yongsong Qin

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 15, 3661-3676

Abstract: In this article, we study the construction of confidence regions for the parameters in moving average (MA) models by using the empirical likelihood (EL) method. It is shown that the EL ratio statistics are asymptotically χ2-type distributed, which are used to obtain EL based confidence regions for the parameters in MA models.

Date: 2021
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DOI: 10.1080/03610926.2019.1710196

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