Empirical likelihood for moving average models

Abstract

In this article, we study the construction of confidence regions for the parameters in moving average (MA) models by using the empirical likelihood (EL) method. It is shown that the EL ratio statistics are asymptotically ${\chi }^2$-type distributed, which are used to obtain EL based confidence regions for the parameters in MA models.

Keywords:

• MA model
• empirical likelihood
• confidence region

AMS 2010 subject classification:

• Primary 62G05
• Secondary 62E20

Acknowledgments

The authors are thankful to the referees for constructive suggestions.

Additional information

Funding

This work was partially supported by the National Natural Science Foundation of China (11671102), the Natural Science Foundation of Guangxi (2016GXNSFAA3800163, 2017GXNSFAA198349) and the Program on the High Level Innovation Team and Outstanding Scholars in Universities of Guangxi Province.