Empirical Likelihood Inference for First-Order Random Coefficient Integer-Valued Autoregressive Processes

Empirical Likelihood Inference for First-Order Random Coefficient Integer-Valued Autoregressive Processes

We apply the empirical likelihood method to estimate the variance of random coefficient in the first-order random coefficient integer-valued autoregressive (RCINAR(1)) processes. The empirical likelihood ratio statistic is derived and some asymptotic theory for it is presented. Furthermore, a simula...

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Veröffentlicht in:Mathematical problems in engineering 2016-01, Vol.2016 (2016), p.1-8
Hauptverfasser: Zhao, Zhiwen, Yu, Wei
Format: Artikel
Sprache:eng
Schlagworte:
Asymptotic methods
Asymptotic properties
Autoregressive processes
Coefficients
Computer simulation
Econometrics
Economic models
Estimates
Estimating techniques
Integers
Likelihood ratio
Mathematical models
Mathematical problems
Statistics
Time series
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Zusammenfassung:We apply the empirical likelihood method to estimate the variance of random coefficient in the first-order random coefficient integer-valued autoregressive (RCINAR(1)) processes. The empirical likelihood ratio statistic is derived and some asymptotic theory for it is presented. Furthermore, a simulation study is presented to demonstrate the performance of the proposed method.
ISSN:1024-123X
1563-5147
DOI:10.1155/2016/9505794