| Project/Area Number |
25870814
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Statistical science
Economic statistics
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| Research Institution | Waseda University |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2016: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | Empirical Likelihood / Portmanteau Test / GARCH / 経験尤度法 / 経験尤度 / 一般化経験尤度 / 次数選択 / 残差分析 / Empirical likelihood / Portmanteau test |
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| Outline of Final Research Achievements |
When we analyze data using time series models, there are many steps such as model selection, estimation of parameters, and diagnostic checking. Generally, since these steps are separately implemented, time series data analysis is complicated. Also, interpretation is difficult when the results of these steps are different. Therefore, we propose empirical likelihood methods that can compute these simultaneously, and elucidated that it has excellent properties especially in diagnostic checking. Simulation studies also showed that the proposed method performed equally or better than the usual method in many cases.
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