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Sponsored by the Center for Science and Technology Development of the Ministry of Education
Supervised by Ministry of Education of the People's Republic of China
Empirical likelihood for first-order random coefficient integer-valued autoregressive processes
Zhang Haixiang,Wang Dehui *,Zhu Fukang
Institute of Mathematics, Jilin University
*Correspondence author
#Submitted by
Subject:
Funding:
none
Opened online:20 October 2010
Accepted by:
none
Citation: Zhang Haixiang,Wang Dehui,Zhu Fukang.Empirical likelihood for first-order random coefficient integer-valued autoregressive processes[OL]. [20 October 2010] http://en.paper.edu.cn/en_releasepaper/content/4388278
This paper studies the empirical likelihood method for a first-order random coefficient integer-valued autoregressive model. The limiting distribution of the log empirical likelihood ratio statistic is established. Confidence regions for the interested parameter and
their coverage probabilities are given, and hypothesis testing is considered. The maximum empirical likelihood estimator for the parameter is derived and its asymptotic properties are established. The performances of the estimator are compared with the conditional least square estimator via simulation.
Keywords:INAR model; Conditional least square; Asymptotic distribution; Hypothesis Testing; Maximum empirical likelihood