Empirical likelihood inference in autoregressive models with time-varying variances
This paper develops the empirical likelihood ( $ \mathrm {EL} $ ) inference procedure for parameters in autoregressive models with the error variances scaled by an unknown nonparametric time-varying function. Compared with existing methods based on non-parametric and semi-parametric estimation, the...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2022-05-01
|
| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2021.1913977 |