Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models

DOI10.1016/j.spl.2010.05.008zbMath1193.62049OpenAlexW2057067170MaRDI QIDQ988118

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

Publication date: 26 August 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.05.008

zbMATH Keywords

kernel functioninfinite varianceempirical likelihoodLAD estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

Related Items (10)

Empirical Likelihood-based Inference for Stationary-ergodicity of the Generalized Random Coefficient Autoregressive Model ⋮ Statistical inference for generalized random coefficient autoregressive model ⋮ A review of empirical likelihood methods for time series ⋮ Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions ⋮ Coefficient constancy test in generalized random coefficient autoregressive model ⋮ Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes ⋮ Conditional heteroscedasticity test for Poisson autoregressive model ⋮ Smoothed empirical likelihood for GARCH models with heavy-tailed errors ⋮ Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model ⋮ Empirical likelihood for partial parameters in ARMA models with infinite variance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Empirical likelihood ratio confidence regions
• M-estimation for autoregression with infinite variance
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Empirical likelihood ratio confidence intervals for a single functional
• Robust methods of estimation of regression coefficients¹
• Empirical likelihood confidence regions in time series models
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

This page was built for publication: Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models