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中国工业与应用数学学会会刊
主管：中华人民共和国教育部
主办：西安交通大学
ISSN 1005-3085  CN 61-1269/O1
工程数学学报

工程数学学报 ›› 2019, Vol. 36 ›› Issue (5): 595-610.doi: 10.3969/j.issn.1005-3085.2019.05.009

• • 上一篇    

强混合样本下线性模型的经验似然推断（英）

陈宇秋,  秦永松   

  1. 广西师范大学统计系，桂林  541004
  • 收稿日期:2017-04-25 接受日期:2019-06-06 出版日期:2019-10-15 发布日期:2019-12-15
  • 通讯作者: 秦永松 E-mail address: ysqin@mailbox.gxnu.edu.cn
  • 基金资助:

    国家自然科学基金(11671102)；广西自然科学基金(2016GXNSFAA3800163; 2017GXNSFAA198349)；广西高校高层次创新团队和优秀人才培养计划.

Empirical Likelihood for Linear Models under Strongly Mixing Samples

CHEN Yu-qiu,  QIN Yong-song   

  1. Department of Statistics, Guangxi Normal University, Guilin 541004
  • Received:2017-04-25 Accepted:2019-06-06 Online:2019-10-15 Published:2019-12-15
  • Contact: Y. Qin. E-mail address: ysqin@mailbox.gxnu.edu.cn
  • Supported by:
    The National Natural Science Foundation of China (11671102); the Natural Science Foundation of Guangxi Province (2016GXNSFAA3800163; 2017GXNSFAA198349);  the Program on the High Level Innovation Team and Outstanding Scholars in Universities of Guangxi Province.

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摘要： 相依样本在现实中普遍存在，强混合结构是许多常见的混合结构中最弱的一种相依结构，被广泛地应用到金融资产的期权定价等众多领域．本文利用分组经验似然方法构造了强混合误差情形线性模型回归系数的经验似然置信域，由此可对回归系数进行估计和检验，我们还通过模拟研究了本文提出的方法的有限样本性质．

关键词: 强混合, 线性模型, 分组经验似然, 置信域

Abstract: Dependent data are popular in applications. The dependence described by strong mixing  is the weakest among well-known mixing structures, which appears in many application fields such as the pricing theories of financial assets. In this paper, by applying the blockwise empirical likelihood (EL) approach, the EL-based confidence regions for the regression vector in a linear model under strongly mixing errors are established, which can be used for the interval estimation and hypothesis testing of the regression vector. Results of a small simulation study on the finite sample performance of the confidence regions are provided.

Key words: strong mixing, linear model, blockwise empirical likelihood; confidence region

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