| Empirical Likelihood Inference for AR（p） Model |
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| 引用本文： | 陈燕红,赵世舜,宋立新.Empirical Likelihood Inference for AR（p） Model[J].东北数学,2008,24(5):423-432. |
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| 作者姓名： | 陈燕红 赵世舜 宋立新 |
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| 作者单位： | |
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| 摘 要： | In this article we study the empirical likelihood inference for AR（p） model. We propose the moment restrictions, by which we get the empirical likelihood estimator of the model parametric, and we also propose an empirical log-likelihood ratio base on this estimator. Our result shows that the EL estimator is asymptotically normal, and the empirical log-likelihood ratio is proved to be asymptotically standard chi-squared.
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| 关 键 词： | 估计模型 似然推理 AR 对数似然比 经验似然 电致发光 |
Empirical Likelihood Inference for AR(p) Model |
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| CHEN Yan-hong,ZHAO Shi-shun,SONG Li-xin.Empirical Likelihood Inference for AR(p) Model[J].Northeastern Mathematical Journal,2008,24(5):423-432. |
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| Authors: | CHEN Yan-hong ZHAO Shi-shun SONG Li-xin |
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| Abstract: | In this article we study the empirical likelihood inference for AR(p) model.We propose the moment restrictions, by which we get the empirical likelihood estimator of the model parametric, and we also propose an empirical log-likelihood ratio base on this estimator.Our result shows that the EL estimator is asymptotically normal, and the empirical log-likelihood ratio is proved to be asymptotically standard chi-squared. |
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| Keywords: | AR(p) model empirical likelihood moment construction asymptotic property |
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