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Hiroaki Ogata, Waseda Print
Thursday, 11 March 2010, 12:15 - 13:15

Empirical likelihood estimation for multivariate CHARN model with stable distribution

Abstract :
We consider the empirical likelihood (EL) estimation for multivariate CHARN model whose innovations have i.i.d. stable distributions. There are two difficulties to apply EL method for this model. First, CHARN model is a self-dependent process whereas EL method is originally designed for an i.i.d. data set. By considering the residual process, we can reduce to the i.i.d. case. Second, the stable distribution does not have the variance except a Gaussian case whereas EL method needs finite second moment. By using the empirical and theoretical characteristic functions, we avoid the second difficulty. As a last, some simulation studies are given.

Hiroaki Ogata, Waseda University, Tokyo

Location: S 12.227
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it