| 陈燕红,宋立新.MA$(q)$模型的经验似然推断[J].数学研究及应用,2009,29(5):923~930 |
| MA$(q)$模型的经验似然推断 |
| Empirical Likelihood Inference for MA$(q)$ Model |
| 投稿时间：2007-10-18 修订日期：2008-11-09 |
| DOI：10.3770/j.issn:1000-341X.2009.05.020 |
| 中文关键词: MA$(q)$模型 经验似然 矩约束 渐近性质. |
| 英文关键词:MA$(q)$ empirical likelihood moment restriction asymptotic properties. |
| 基金项目:大连理工大学``数学 X''项目(No.842306). |
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| 中文摘要: |
| 本文通过矩约束的方法,研究了MA$(q)$模型的经验似然估计及相应的似然比统计量,并证明了所求的经验似然估计是渐近正态的,并且证明了似然比统计量渐近$\chi^2$分布. |
| 英文摘要: |
| 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. |
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