Journal of Statistical Theory and Applications

<Previous Article In Issue
Next Article In Issue>
Volume 20, Issue 1, March 2021, Pages 11 - 20

Restricted Empirical Likelihood Estimation for Time Series Autoregressive Models

Authors
Mahdieh Bayati1, S.K. Ghoreishi2, *, Jingjing Wu3
1Department of Statistics, Science and Research Branch, Azad University, I. R. Iran
2Department of Statistics, Faculty of Sciences, University of Qom, I. R. Iran
3Department of Mathematics and Statistics, University of Calgary, Canada
*Corresponding author. Email: atty_ghoreishi@yahoo.com
Corresponding Author
S.K. Ghoreishi
Received 3 June 2020, Accepted 18 January 2021, Available Online 3 February 2021.
DOI
10.2991/jsta.d.210121.001How to use a DOI?
Keywords
Autoregressive models; EM algorithm; Empirical likelihood; Estimating equations
Abstract

In this paper, we first illustrate the restricted empirical likelihood function, as an alternative to the usual empirical likelihood. Then, we use this quasi-empirical likelihood function as a basis for Bayesian analysis of AR(r) time series models. The efficiency of both the posterior computation algorithm, when the estimating equations are linear functions of the parameters, and the EM algorithm for estimating hyper-parameters is an appealing property of our proposed approach. Moreover, the competitive finite-sample performance of this proposed method is illustrated via both simulation study and analysis of a real dataset.

Copyright
© 2021 The Authors. Published by Atlantis Press B.V.
Open Access
This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)
View full text (HTML)

<Previous Article In Issue
Next Article In Issue>
Journal
Journal of Statistical Theory and Applications
Volume-Issue
20 - 1
Pages
11 - 20
Publication Date
2021/02/03
ISSN (Online)
2214-1766
ISSN (Print)
1538-7887
DOI
10.2991/jsta.d.210121.001How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press B.V.
Open Access
This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - JOUR
AU  - Mahdieh Bayati
AU  - S.K. Ghoreishi
AU  - Jingjing Wu
PY  - 2021
DA  - 2021/02/03
TI  - Restricted Empirical Likelihood Estimation for Time Series Autoregressive Models
JO  - Journal of Statistical Theory and Applications
SP  - 11
EP  - 20
VL  - 20
IS  - 1
SN  - 2214-1766
UR  - https://doi.org/10.2991/jsta.d.210121.001
DO  - 10.2991/jsta.d.210121.001
ID  - Bayati2021
ER  -