| Empirical Likelihood Inference for MA$(q)$ Model |
| Received:October 18, 2007 Revised:November 09, 2008 |
| Key Words:
MA$(q)$ empirical likelihood moment restriction asymptotic properties.
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| Fund Project:``Mathematics X'' of DLUT (No.842306). |
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| Abstract: |
| In this article we study the empirical likelihood inference for MA$(q)$ model. We propose the moment restrictions, by which we get the empirical likelihood estimator of the model parameter, and we also propose an empirical log-likelihood ratio based on this estimator. Our result shows that the EL estimator is asymptotically normal, and the empirical log-likelihood ratio is proved to be asymptotical standard chi-square distribution. |
| Citation: |
| DOI:10.3770/j.issn:1000-341X.2009.05.020 |
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