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考虑将经验似然方法应用到p阶二项自回归模型中。首先给出模型的极大经验似然估计，建立对数经验似然比函数的极限分布，并构造参数的置信区间。其次通过数值模拟比较极大经验似然估计与条件最小二乘估计的估计效果，并且对比由经验似然方法和基于最小二乘估计的正态逼近方法计算的参数置信域的覆盖率。最后将该模型应用到一组实际数据中进行拟合分析，说明高阶模型和经验似然方法的有效性。
Abstract：The empirical likelihood(EL) method is applied to the p th-order binomial autoregressive(BAR(p)) model. Firstly, the maximum empirical likelihood estimation of the model is given. In addition, we established the limit distribution of the log-empirical likelihood ratio statistics and constructed the confidence region for the parameters. Secondly, through numerical simulation, the effects of empirical likelihood estimation and conditional least squares estimation based on least squares estimation are compared. Moreover, we assessed the coverage probability of the confidence region for the parameters computed by both the EL method and the normal approximation(NA) method. Finally, the model is applied to a group of actual data for fitting analysis to illustrate the effectiveness of the BAR(p)model and the empirical likelihood method.
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基本信息:
DOI：10.15923/j.cnki.cn22-1382/t.2025.6.12
中图分类号:O212.1
引用信息:
[1]范晓静,董小刚,张洁.p阶二项自回归模型的经验似然推断[J].长春工业大学学报,2025,46(06):563-571.DOI:10.15923/j.cnki.cn22-1382/t.2025.6.12.
基金信息:
吉林省自然科学基金自由探索项目(YDZJ202301ZYTS384); 吉林省教育厅科学技术项目(JJKH20220671KJ)
2025-12-03
2025-12-03