AR(p)模型的经验似然推断
AR(p)모형적경험사연추단
Empirical Likelihood Inference for AR(p) Model
  • 万方数据
    东北数学(英文版) 동북수학(영문판)
    NORTHEASTERN MATHEMATICAL JOURNAL
    2008年 5期 423-432 ,共10页

    陈燕红%赵世舜%宋立新

    진연홍%조세순%송립신



    AR(p) model%empirical likelihood%moment construction%asymptotic property


    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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