An empirical likelihood approach for symmetric -stable processes

DOI10.3150/14-BEJ636MaRDI QIDQ888475zbMATH OpenOpenAlexFDO

Authors 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, https://projecteuclid.org/euclid.bj/1438777587

zbMATH Keywords

\(\alpha\)-stable processesconfidence regionsempirical likelihood ratioheavy tailsnormalized power transfer functionself-normalized periodogramWhittle likelihood

Mathematics Subject Classification ID

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

Abstract: Empirical likelihood approach is one of non-parametric statistical methods, which is applied to the hypothesis testing or construction of confidence regions for pivotal unknown quantities. This method has been applied to the case of independent identically distributed random variables and second order stationary processes. In recent years, we observe heavy-tailed data in many fields. To model such data suitably, we consider symmetric scalar and multivariate $alpha$-stable linear processes generated by infinite variance innovation sequence. We use a Whittle likelihood type estimating function in the empirical likelihood ratio function and derive the asymptotic distribution of the empirical likelihood ratio statistic for $alpha$-stable linear processes. With the empirical likelihood statistic approach, the theory of estimation and testing for second order stationary processes is nicely extended to heavy-tailed data analyses, not straightforward, and applicable to a lot of financial statistical analyses.

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Cited in

(10)

• Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
• Whittle parameter estimation for vector ARMA models with heavy-tailed noises
• Robust causality test of infinite variance processes
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