Abstract:

he authors  studied the empirical likelihood method for
stationary ARIMA(p,d,q) model, which is based on the periodogram ordinate’s
 asymptotical property, obtained the estimation equation and whittle’s estimat
or for the model parameter and  the distribution of the log profile empiri
cal likelihood ratio statistic L(β) which is asymptotically distributed as
χ²p+q+2, as well as the confidence regions for the parameters.

Key words:  ARIMA model, estimation equation, empirical likelihood, periodogram, spectral density