POWER PROPERTIES OF EMPIRICAL LIKELIHOOD FOR STATIONARY PROCESSES

• TAMAKI Kenichiro

  Waseda University

Abstract

In this paper we discuss the second order power properties of empirical likelihood for stationary processes. The asymptotic distribution of empirical likelihood ratio statistics under a sequence of local alternatives is given.

Journal

• Scientiae Mathematicae Japonicae

  Scientiae Mathematicae Japonicae 66 (3), 359-369, 2007

  International Society for Mathematical Sciences

Keywords

• empirical likelihood
• local power
• stationary process

Details

• CRID: 1390002184880193920
• NII Article ID: 10019780460
• NII Book ID: AA1150654X
• DOI: 10.32219/isms.66.3_359
• ISSN: 13460447
• Text Lang: en
• Data Source:
  • JaLC
  • CiNii Articles
• Abstract License Flag: Disallowed