ZHANG Xiuzhen, LU Zhiping, . Empirical Likelihood Testing for Memory Parameter in Gaussian and Non-Gaussion Stationary Time Series[J]. Chinese Journal of Applied Probability and Statistics, 2024, 40(1): 98-106.
Citation: ZHANG Xiuzhen, LU Zhiping, . Empirical Likelihood Testing for Memory Parameter in Gaussian and Non-Gaussion Stationary Time Series[J]. Chinese Journal of Applied Probability and Statistics, 2024, 40(1): 98-106.

Empirical Likelihood Testing for Memory Parameter in Gaussian and Non-Gaussion Stationary Time Series

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  • Corresponding author:

    LU Zhiping, E-mail: zplu@sfs.ecnu.edu.cn

  • In this paper, we apply empirical likelihood for testing the significance of long memory parameter in Gaussian and non-Gaussian stationary model. We start from the wide-used long memory model (ARFIMA) to derive the empirical likelihood ratio statistics of memory parameter. We show that the testing statistics follow chi-square distribution in theory. The numerical simulations and a real data analysis verify our proposed methods are valid for testing the long memory parameter in stationary ARFIMA models.

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