Estimation for Non-Gaussian Locally Stationary Processes with Empirical Likelihood Method

Abstract EN

An application of the empirical likelihood method to non-Gaussian locally stationary processes is presented.

Based on the central limit theorem for locally stationary processes, we give the asymptotic distributions of the maximum empirical likelihood estimator and the empirical likelihood ratio statistics, respectively.

It is shown that the empirical likelihood method enables us to make inferences on various important indices in a time series analysis.

Furthermore, we give a numerical study and investigate a finite sample property.