文章基本信息

标题：Empirical Likelihood Estimation for a Class of Stable Processes
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作者：Hiroaki Ogata
期刊名称：JOURNAL OF THE JAPAN STATISTICAL SOCIETY
印刷版ISSN：1882-2754
电子版ISSN：1348-6365
出版年度：2010
卷号：40
期号：2
页码：207-219
DOI：10.14490/jjss.40.207
出版社：JAPAN STATISTICAL SOCIETY
摘要：We investigate the empirical likelihood estimation for a parameter of linear processes whose innovations have i.i.d. symmetric α -stable distributions. To construct the estimating function for the empirical likelihood method, we make use of the empirical and theoretical characteristic functions. The asymptotic normality of the maximum empirical likelihood estimator is derived. The behavior of the asymptotic variance with respect to infinitesimal perturbations of the dependence effect is studied and we find that it is dependence robust when α > 1 . Numerical studies are also given.
关键词：α-stable distribution;characteristic function;empirical likelihood;estimating function