Empirical likelihood for first-order mixed integer-valued autoregressive model |
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Authors: | Yan-qiu Yang De-hui Wang Zhi-wen Zhao |
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Institution: | 1.Department of Mathematics,Jilin University,Changchun,China;2.Department of Mathematics,Jilin Normal University,Siping,China |
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Abstract: | In this paper, we not only construct the confidence region for parameters in a mixed integer-valued autoregressive process using the empirical likelihood method, but also establish the empirical log-likelihood ratio statistic and obtain its limiting distribution. And then, via simulation studies we give coverage probabilities for the parameters of interest. The results show that the empirical likelihood method performs very well. |
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