Empirical Likelihood Inference for Random Coefficient INAR(p) Process

Zhang Haixiang; Wang Dehui; Zhu Fukang

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Empirical Likelihood Inference for Random Coefficient INAR(p) Process

Zhang Haixiang #,Wang Dehui * #,Zhu Fukang

Institute of Mathematics, Jilin University

*Correspondence author

#Submitted by

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Funding: none

Opened online:20 October 2010

Accepted by: none

Citation: Zhang Haixiang,Wang Dehui,Zhu Fukang.Empirical Likelihood Inference for Random Coefficient INAR(p) Process[OL]. [20 October 2010] http://en.paper.edu.cn/en_releasepaper/content/4388272

In this paper, we study the empirical likelihood method for the pth-order random coefficient integer-valued autoregressive process. In particular, the limiting distribution of the log empirical likelihood ratio statistic is established and the confidence regions for the parameter of interest are derived. Also a simulation study is conducted for the evaluation of the developed approach.

Keywords:Models of count data;Random coefficient;INAR process;Empirical likelihood;Asymptotic distribution

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