Inference for Long-memory Time Series Models Based on Modified Empirical Likelihood
Empirical likelihood method has been applied to short-memory time series models by Monti (1997) through the Whittle's estimation method. Yau (2012) extended this idea to long-memory time series models. Asymptotic distributions of the empirical likelihood ratio statistic for short and long-memo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2020-08-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/983 |