A note on the asymptotic behaviour of empirical likelihood statistics

DOI10.1007/S10260-010-0137-9zbMATH Open1332.62079OpenAlexW2063744787MaRDI QIDQ257581FDOQ257581

Gianfranco Adimari, Annamaria Guolo

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-010-0137-9

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zbMATH Keywords

pseudo-likelihoodestimating functionGARCH modelautoregressive modelstationary processWhittle's estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Empirical likelihood methods with weakly dependent processes
• Empirical likelihood ratio confidence regions
• Extending the scope of empirical likelihood
• Empirical likelihood for linear models
• Empirical likelihood
• Estimating equations, empirical likelihood and constraints on parameters
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Title not available (Why is that?)
• A frequency domain empirical likelihood for short- and long-range dependence
• Estimation and information in stationary time series
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Empirical likelihood confidence regions in time series models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Empirical likelihood confidence intervals for the mean of a long‐range dependent process

Cited In (9)

• Bayesian and influence function‐based empirical likelihoods for inference of sensitivity to the early diseased stage in diagnostic tests
• Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias
• A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes
• A Note on Asymptotic Expansions of Logarithms of Likelihood Ratios of Least Favourable Distributions
• Empirical Likelihood for the Analysis of Experimental Designs
• Empirical likelihood ratio in penalty form and the convex hull problem
• A note on empirical likelihoods derived from pairwise score functions
• Empirical likelihood confidence regions for the evaluation of continuous-scale diagnostic tests in the presence of verification bias
• A note on a partial empirical likelihood

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