Empirical likelihood for AR-ARCH models based on LAD estimation

DOI10.1007/s10255-010-0051-9zbMathNoneOpenAlexW2068773074MaRDI QIDQ511188

Jin-yu Li, Shu-yuan He, Wei Liang

Publication date: 14 February 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-010-0051-9

zbMATH Keywords

confidence regionempirical likelihoodLAD estimationAR-ARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items

TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL ⋮ Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models ⋮ Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors ⋮ Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference ⋮ Empirical likelihood for least absolute relative error regression ⋮ A review of empirical likelihood methods for time series ⋮ Smoothed empirical likelihood for GARCH models with heavy-tailed errors

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Empirical likelihood ratio confidence regions
• M-estimation for autoregression with infinite variance
• Empirical likelihood and general estimating equations
• Least absolute deviation estimation for regression with ARMA errors
• Least absolute deviations estimation for ARCH and GARCH models
• WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Empirical likelihood ratio confidence intervals for a single functional
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Empirical likelihood confidence regions in time series models
• Inference in Arch and Garch Models with Heavy-Tailed Errors

This page was built for publication: Empirical likelihood for AR-ARCH models based on LAD estimation