Statistical Methods & Applications

, Volume 19, Issue 4, pp 463–476

A note on the asymptotic behaviour of empirical likelihood statistics

Article

DOI: 10.1007/s10260-010-0137-9

Cite this article as:
Adimari, G. & Guolo, A. Stat Methods Appl (2010) 19: 463. doi:10.1007/s10260-010-0137-9

Abstract

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.

Keywords

Autoregressive model Estimating function GARCH model Pseudo-likelihood Stationary process Whittle’s estimator 

Copyright information

© Springer-Verlag 2010

Authors and Affiliations

  1. 1.Department of Statistical SciencesUniversity of PaduaPadovaItaly
  2. 2.Department of EconomicsUniversity of VeronaVeronaItaly

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