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

Hiroaki Ogata*, Masanobu Taniguchi

*この研究の対応する著者

研究成果: Article査読

2 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)141-156
ページ数16
ジャーナルScandinavian Journal of Statistics
36
1
DOI
出版ステータスPublished - 2009 3 1

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性

フィンガープリント

「Cressie-read power-divergence statistics for non-gaussian vector stationary processes」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル