Quasi-maximum exponential likelihood estimator and portmanteau test of double [Formula: see text] model based on [Formula: see text]

The paper studies the estimation and the portmanteau test for double [Formula: see text] model with [Formula: see text] distribution. The double [Formula: see text] model is investigated to propose firstly the quasi-maximum exponential likelihood estimator, design a portmanteau test of double [Formu...

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Detalles Bibliográficos
Autores principales: Xuan, Haiyan, Song, Lixin, Ji, Un Cig, Sun, Yan, Dai, Tianjiao
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2018
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6132383/
https://www.ncbi.nlm.nih.gov/pubmed/30839661
http://dx.doi.org/10.1186/s13660-018-1769-9
Descripción
Sumario:The paper studies the estimation and the portmanteau test for double [Formula: see text] model with [Formula: see text] distribution. The double [Formula: see text] model is investigated to propose firstly the quasi-maximum exponential likelihood estimator, design a portmanteau test of double [Formula: see text] on the basis of autocorrelation function, and then establish some asymptotic results. Finally, an empirical study shows that the estimation and the portmanteau test obtained in this paper are very feasible and more effective.

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