Frequency domain generalized empirical likelihood method
Frequency domain generalized empirical likelihood method
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DOI：
10.1111/jtsa.12043
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发表时间：
2013-11
影响因子：
0.9
通讯作者：
Yoshihide Kakizawa
中科院分区：
文献类型：
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作者：
Yoshihide Kakizawa
本文讨论了一种谱约束的经验似然方法，它通过频域方法处理平稳时间序列数据。研究了具有四阶零累积量谱密度函数的严格平稳过程和具有可能非零四阶累积量的IID新息产生的线性过程的频域广义经验似然的渐近性质。几种用于检验参数约束、过识别光谱约束和附加光谱约束的统计量都具有极限卡方分布。给出了一些数值结果，以考察所提出的方法的有限样本性能。版权所有©2013 John Wiley&Sons，Ltd.
This paper is concerned with a version of empirical likelihood method for spectral restrictions, which handles stationary time series data via the frequency domain approach. The asymptotic properties of frequency domain generalized empirical likelihood are studied for either strictly stationary processes with vanishing cumulant spectral density function of order 4 or linear processes generated by iid innovations with possibly non‐zero fourth order cumulant. Several statistics for testing parametric restrictions, over‐identified spectral restrictions, and additional spectral restrictions are shown to have the limiting chi‐squared distributions. Some numerical results are presented to investigate the finite sample performance of the proposed procedures. Copyright © 2013 John Wiley & Sons, Ltd.