In this paper,we apply empirical likelihood for testing the significance of long memory parameter in Gaussian and non-Gaussian stationary model.We start from the wide-used long memory model(ARFIMA)to derive the empirical likelihood ratio statistics of memory parameter.We show that the testing statistics follow chi-square distribution in theory.The numerical simulations and a real data analysis verify our proposed methods are valid for testing the long memory parameter in stationary ARFIMA models.
维普
万方数据