Restricted Empirical Likelihood Estimation for Time Series Autoregressive Models
In this paper, we first illustrate the restricted empirical likelihood function, as an alternative to the usual empirical likelihood. Then, we use this quasi-empirical likelihood function as a basis for Bayesian analysis of AR(r) time series models. The efficiency of both the posterior computation a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Atlantis Press
2021-02-01
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| Series: | Journal of Statistical Theory and Applications (JSTA) |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/125952020/view |