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

DOI10.3969/J.ISSN.1001-4268.2024.01.006MaRDI QIDQ6585935zbMATH OpenFDO

Authors Xiuzhen Zhang, Zhiping Lu

Publication date 12 August 2024

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

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)

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Cites work

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

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