Empirical likelihood testing for memory parameter in Gaussian and non-Gaussion stationary time series

DOI10.3969/J.ISSN.1001-4268.2024.01.006MaRDI QIDQ6585935FDOQ6585935

Authors: Xiuzhen Zhang, Zhiping Lu 

Publication date: 12 August 2024

Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Recommendations

• Empirical likelihood test for stationary short memory time series models
• Empirical likelihood in long-memory time series models
• Sign tests for long-memory time series
• Empirical likelihood for a long range dependent process subordinated to a Gaussian process
• A test against spurious long memory

zbMATH Keywords

empirical likelihoodmemory parameterparameter hypothesis test

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 and general estimating equations
• Fractional differencing
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• On discriminating between long-range dependence and changes in mean
• Discrimination between monotonic trends and long-range dependence
• Localized realized volatility modeling
• A frequency domain empirical likelihood for short- and long-range dependence
• Estimation and information in stationary time series
• Empirical likelihood confidence regions in time series models
• A review of empirical likelihood methods for time series
• Likelihood inference for discriminating between long-memory and change-point models
• Empirical likelihood in long-memory time series models
• On the Bartlett correction of empirical likelihood for Gaussian long-memory time series
• Statistical tests for a single change in mean against long-range dependence
• Adjusted empirical likelihood for long-memory time-series models

This page was built for publication: Empirical likelihood testing for memory parameter in Gaussian and non-Gaussion stationary time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6585935)