An empirical likelihood approach for symmetric α-stable processes

Empirical likelihood approach is one of non-parametric statistical methods, which is applied to the hypothesis testing or construction of confidence regions for pivotal unknown quantities. This method has been applied to the case of independent identically distributed random variables and second ord...

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Veröffentlicht in:	Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability 2015-11, Vol.21 (4), p.2093-2119
Hauptverfasser:	AKASHI, FUMIYA, LIU, YAN, TANIGUCHI, MASANOBU
Format:	Artikel
Sprache:	eng
Schlagworte:	confidence region empirical likelihood ratio heavy tail normalized power transfer function self-normalized periodogram symmetric \alpha-stable process Whittle likelihood
Online-Zugang:	Volltext
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