J4 ›› 2009, Vol. 47 ›› Issue (05): 871-876.
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ZHANG Hai-Xiang, WANG De-Hui
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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 χ2p+q+2, as well as the confidence regions for the parameters.
Key words: ARIMA model, estimation equation, empirical likelihood, periodogram, spectral density
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ZHANG Hai-Xiang, WANG De-Hui. Empirical Likelihood Inference for the StationaryARIMA(p,d,q) Model[J].J4, 2009, 47(05): 871-876.
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