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Empirical Likelihood for a First-Order Generalized Random Coefficient Integer-Valued Autoregressive Process
Jianhua Cheng1, Xu Wang1, Dehui Wang2
1School of Mathematics, Jilin University, Changchun, 130012 China.
Abstract:
In this paper, the authors consider the empirical likelihood method for a first-order generalized random coefficient integer-valued autoregressive process. The authors establish the log empirical likelihood ratio statistic and obtain its limiting distribution. Furthermore, the authors investigate the point estimation, confidence regions and hypothesis testing for the parameters of interest. The performance of empirical likelihood method is illustrated by a simulation study and a real data example.
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