A note on the asymptotic behaviour of empirical likelihood statistics

Gianfranco Adimari; Annamaria Guolo

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A note on the asymptotic behaviour of empirical likelihood statistics

机译：关于经验似然统计的渐近行为的一个注记

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摘要

This paper develops some theoretical results about the asymptotic behaviour of the empirical likelihood and the empirical profile likelihood statistics, which originate from fairly general estimating functions. The results accommodate, within a unified framework, various situations potentially occurring in a wide range of applications. For this reason, they are potentially useful in several contexts, such as, for example, in inference for dependent data. We provide examples showing that known findings in literature about the asymptotic behaviour of some empirical likelihood statistics in time series models can be derived as particular cases of our results.

机译：本文针对经验似然性和经验轮廓似然统计量的渐近行为提出了一些理论结果，这些理论结果来自相当普遍的估计函数。结果在一个统一的框架内适应了可能在多种应用中发生的各种情况。由于这个原因，它们在几种情况下可能很有用，例如，在推断相关数据时。我们提供的例子表明，时间序列模型中一些经验似然统计的渐近行为的文献中的已知发现可以作为我们结果的特殊情况而得出。

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来源
《Statistical Methods and Applications》 |2010年第4期|p.463-476|共14页
作者
Gianfranco Adimari; Annamaria Guolo;
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作者单位

Department of Statistical Sciences, University of Padua, Via Cesare Battisti, 241, 35121 Padova, Italy;

rnDepartment of Economics, University of Verona, Via dell'Artigliere, 8,37129 Verona, Italy;

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正文语种 eng
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关键词
autoregressive model; estimating function; GARCH model; pseudo-likelihood; stationary process; Whittle's estimator;

机译：自回归模型估计功能;GARCH模型;伪似然平稳过程惠特尔的估算器;

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1. THE ASYMPTOTIC DISTRIBUTIONS OF EMPIRICAL LIKELIHOOD RATIO STATISTICS IN THE PRESENCE OF MEASUREMENT ERROR [J] . 数学物理学报（英文版） . 2007,第002期

机译：存在测量误差时经验似然比统计量的渐近分布
2. Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework [J] . Zhang Xianyang Journal of Econometrics . 2016,第1期

机译：广义经验似然估计框架中的固定平滑渐近性
3. Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics [J] . Caner M Journal of Econometrics . 2014,第2期

机译：广义经验似然估计中的接近外生性和弱识别：许多矩渐近性
4. On the Non-Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance [C] . Marc Hallin Nonparametric Statistics and Mixture Models : Past, Present, and Future . 2011

机译：关于协方差同质性的似然比试验统计的非高斯渐近学
5. A jackknife empirical likelihood approach to goodness of fit U-statistic testing with side information. [D] . Lin, Qun. 2013

机译：附带经验的拟合U统计检验优劣的折刀经验似然法。
6. On the asymptotic behaviour of the pseudolikelihood ratio test statistic with boundary problems [O] . Yong Chen, Kung-Yee Liang -1

机译：具有边界问题的拟似然比检验统计量的渐近行为
7. THE ASYMPTOTIC DISTRIBUTIONS OF EMPIRICAL LIKELIHOOD RATIO STATISTICS IN THE PRESENCE OF MEASUREMENT ERROR [O] . Wu Changchun, Zhang Runchu 2015

机译：存在测量误差时经验似然比率统计量的渐近分布
8. Asymptotic behavior of the Likelihood Ratio Statistic for Testing a Shift in Mean in a Sequence of Independent Normal Variates. [R] . Yao, Y. C., Davis, R. A. 1984

机译：作者：刘莹，数学杂志JOURNaL OF maTHEmaTICs用于检验独立正态变量序列中均值漂移的似然比统计量的渐近性态。

A note on the asymptotic behaviour of empirical likelihood statistics

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