Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance

Abstract EN

This paper proposes a profile empirical likelihood for the partial parameters in ARMA(p,q) models with infinite variance.

We introduce a smoothed empirical log-likelihood ratio statistic.

Also, the paper proves a nonparametric version of Wilks’s theorem.

Furthermore, we conduct a simulation to illustrate the performance of the proposed method.