Cressie-read power-divergence statistics for non-gaussian vector stationary processes

Hiroaki Ogata, Masanobu Taniguchi

研究成果: Article

2 引用 (Scopus)

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For a class of vector-valued non-Gaussian stationary processes, we develop the Cressie-Read power-divergence (CR) statistic approach which has been proposed for the i.i.d. case. The CR statistic includes empirical likelihood as a special case. Therefore, by adopting this CR statistic approach, the theory of estimation and testing based on empirical likelihood is greatly extended. We use an extended Whittle likelihood as score function and derive the asymptotic distribution of the CR statistic. We apply this result to estimation of autocorrelation and the AR coefficient, and get narrower confidence intervals than those obtained by existing methods. We also consider the power properties of the test based on asymptotic theory. Under a sequence of contiguous local alternatives, we derive the asymptotic distribution of the CR statistic. The problem of testing autocorrelation is discussed and we introduce some interesting properties of the local power.

元の言語English
ページ(範囲)141-156
ページ数16
ジャーナルScandinavian Journal of Statistics
36
発行部数1
DOI
出版物ステータスPublished - 2009 3 1

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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