Empirical likelihood inference for error density estimators in first-order autoregression models

DOI10.1080/03610926.2014.974820OpenAlexW2787991953MaRDI QIDQ5160179FDOQ5160179

Authors: Hui Zhou, Jie Li 

Publication date: 28 October 2021

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.974820

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zbMATH Keywords

residualsempirical likelihoodkernel density estimatorAR(1) model

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15)

Cites Work

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• Asymptotic distributions of error density estimators in first-order autoregressive models
• GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.

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• Empirical Likelihood for First-order Autoregressive Error-in-variable of Models With Validation Data
• Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
• Empirical likelihood for an autoregressive model with explanatory variables

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