Research Article
Empirical Likelihood for Partial Parameters in ARMA Models with Infinite Variance
Table 3
The coverage probability of confidence intervals when
.
| | | EL(0.27) | EL(0.30) | EL(0.32) | NA(0.25) | NA(0.20) |
|
| 50 | 0.8360 | 0.8358 | 0.8361 | 0.6345 | 0.6018 | 100 | 0.8708 | 0.8708 | 0.8702 | 0.7286 | 0.6942 | 150 | 0.8811 | 0.8819 | 0.8823 | 0.7614 | 0.7270 | 200 | 0.8870 | 0.8864 | 0.8868 | 0.7800 | 0.7467 |
|
| 50 | 0.8673 | 0.8679 | 0.8678 | 0.5818 | 0.5502 | 100 | 0.8869 | 0.8870 | 0.8874 | 0.6756 | 0.6440 | 150 | 0.8972 | 0.8974 | 0.8974 | 0.7232 | 0.6867 | 200 | 0.8956 | 0.8955 | 0.8953 | 0.7510 | 0.7156 |
|
| 50 | 0.8992 | 0.8994 | 0.8996 | 0.6888 | 0.6557 | 100 | 0.9263 | 0.9261 | 0.9263 | 0.7870 | 0.7530 | 150 | 0.9362 | 0.9366 | 0.9367 | 0.8176 | 0.7857 | 200 | 0.9402 | 0.9398 | 0.9399 | 0.8350 | 0.8044 |
|
| 50 | 0.9235 | 0.9239 | 0.9240 | 0.6378 | 0.6065 | 100 | 0.9422 | 0.9420 | 0.9420 | 0.7342 | 0.7030 | 150 | 0.9474 | 0.9479 | 0.9481 | 0.7820 | 0.7530 | 200 | 0.9467 | 0.9471 | 0.9470 | 0.8057 | 0.7778 |
|
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