Abstract
This paper proposes a profile empirical likelihood for the partial parameters in ARMA models with infinite variance. We introduce a smoothed empirical log-likelihood ratio statistic. Also, the paper proves a nonparametric version of Wilks’s theorem. Furthermore, we conduct a simulation to illustrate the performance of the proposed method.
Citation
Jinyu Li. Wei Liang. Shuyuan He. "Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance." J. Appl. Math. 2014 1 - 10, 2014. https://doi.org/10.1155/2014/868970