An empirical likelihood approach for symmetric \(\alpha\)-stable processes

DOI10.3150/14-BEJ636zbMath1342.60071arXiv1407.6514OpenAlexW2146095036MaRDI QIDQ888475

Fumiya Akashi, Yan Liu, Masanobu Taniguchi

Publication date: 30 October 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.6514

zbMATH Keywords

heavy tailsconfidence regionsWhittle likelihoodempirical likelihood ratio\(\alpha\)-stable processesnormalized power transfer functionself-normalized periodogram

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Stable stochastic processes (60G52)

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