Empirical likelihood estimation for linear regression models with AR(p) error terms with numerical examples

DOI10.1080/02664763.2021.1899142OpenAlexW3138492550MaRDI QIDQ5092996

Şenay Özdemir, Olcay Arslan, Yetkin Tuaç, Yeşim Güney

Publication date: 26 July 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.03282

zbMATH Keywords

linear regressionempirical likelihooddependent errorAR(p) error terms

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Uses Software

• R

Cites Work

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• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
• Combining empirical likelihood and robust estimation methods for linear regression models
• Robust parameter estimation of regression model with AR(p) error terms
• An R package and a study of methods for computing empirical likelihood

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