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	Empirical Likelihood for AR-ARCH Models Based on LAD Estimation
	Li, Jin-yu ; Liang, Wei ; He, Shu-yuan
	2012
关键词	AR-ARCH model confidence region empirical likelihood LAD estimation ABSOLUTE DEVIATIONS ESTIMATION TIME-SERIES MODELS GARCH MODELS AUTOREGRESSIVE MODELS CONFIDENCE-REGIONS INFINITE VARIANCE ERRORS
英文摘要	By employing the empirical likelihood method, confidence regions for the stationary AR(p)-ARCH(q) models are constructed. A self-weighted LAD estimator is proposed under weak moment conditions. An empirical log-likelihood ratio statistic is derived and its asymptotic distribution is obtained. Simulation studies show that the performance of empirical likelihood method is better than that of normal approximation of the LAD estimator in terms of the coverage accuracy, especially for relative small size of observation.; Mathematics, Applied; SCI(E); 中国科学引文数据库(CSCD); 0; ARTICLE; 2; 371-382; 28
语种	英语
出处	SCI
出版者	acta mathematicae applicatae sinica english series
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/233687]
专题	数学科学学院
推荐引用方式 GB/T 7714	Li, Jin-yu,Liang, Wei,He, Shu-yuan. Empirical Likelihood for AR-ARCH Models Based on LAD Estimation. 2012-01-01.

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