Frequency domain generalized empirical likelihood method

DOI10.1111/jtsa.12043zbMath1296.62170OpenAlexW2154609669MaRDI QIDQ5408114

Yoshihide Kakizawa

Publication date: 8 April 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12043

zbMATH Keywords

frequency domainparameter estimationasymptotic propertiesstationary processempirical likelihood methodtests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) General second-order stochastic processes (60G12)

Related Items (3)

Empirical likelihood for break detection in time series ⋮ Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models ⋮ Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance

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