强混合样本下随机设计情形线性模型的经验似然推断

Empirical Likehood for Linear Models with Random Designs Under Strong Mixing Samples

本文研究强混合样本下随机设计情形线性模型的经验似然推断,将分块技术应用到经验似然方法中,证明了线性模型的参数β的对数经验似然比统计量的渐近分布为卡方分布,由此构造了强混合样本下β的经验似然置信区间.在有限样本情况下给出数值模拟结果.

In this paper,we study the blockwise empirical likelihood(EL)method to construct the confidence regions for the regression vectorβin a linear model with random designs under strong mixing samples.It is shown that the blockwise EL ratio statistic forβis asymptoticallyχ^(2) distributed,which are used to construct the EL-based confidence region forβwith random designs under strong mixing samples.Results of a simulation study on the finite sample performance of the confidence region are reported.