Empirical likelihood for LAD estimators in infinite variance ARMA models
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Publication:625001
DOI10.1016/J.SPL.2010.11.010zbMath1205.62133OpenAlexW2067848749MaRDI QIDQ625001
Wei Liang, Shu-yuan He, Jin-yu Li
Publication date: 11 February 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2010.11.010
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)
Related Items (3)
Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models ⋮ Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals ⋮ Empirical likelihood for partial parameters in ARMA models with infinite variance
Uses Software
Cites Work
- Empirical likelihood ratio confidence regions
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
- EMPIRICAL LIKELIHOOD FOR GARCH MODELS
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood confidence regions in time series models
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