Empirical likelihood inference in autoregressive models with time-varying variances
This paper develops the empirical likelihood ( $ \mathrm {EL} $ ) inference procedure for parameters in autoregressive models with the error variances scaled by an unknown nonparametric time-varying function. Compared with existing methods based on non-parametric and semi-parametric estimation, the...
Furkejuvvon:
| Váldodahkkit: | , |
|---|---|
| Materiálatiipa: | Artigo |
| Giella: | Inglês |
| Almmustuhtton: |
Taylor & Francis Group
2022-05-01
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| Ráidu: | Statistical Theory and Related Fields |
| Fáttát: | |
| Liŋkkat: | http://dx.doi.org/10.1080/24754269.2021.1913977 |
| Fáddágilkorat: |
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