Empirical Likelihood Statistical Inference for the BINAR(1) Process

In this paper, we apply the empirical likelihood (EL) approach to the bivariate first-order integer-valued autoregressive (BINAR(1)) model. The maximum empirical likelihood (MEL) estimator for this process is constructed by the empirical likelihood ratio (ELR) statistic derived from the EL method. We then discuss the asymptotic properties of this estimator. Subsequently, the model parameters are estimated using the MEL method, the conditional least squares method, and the conditional maximum likelihood method. The finite-sample performance of the proposed estimation procedures is examined through Monte Carlo simulation experiments. A real data example is further presented.

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Publication Details

Journal
Mathematics
Published
2026-06-27
DOI
https://doi.org/10.3390/math14132289
Primary Topic
Financial Risk and Volatility Modeling
Type
article
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article

Empirical Likelihood Statistical Inference for the BINAR(1) Process

Yue Wang, Ying Liu, Bo Shao
Mathematics
Financial Risk and Volatility Modeling
article

Empirical Likelihood Statistical Inference for the BINAR(1) Process

Yue Wang, Ying Liu, Bo Shao
article en

Abstract

In this paper, we apply the empirical likelihood (EL) approach to the bivariate first-order integer-valued autoregressive (BINAR(1)) model. The maximum empirical likelihood (MEL) estimator for this process is constructed by the empirical likelihood ratio (ELR) statistic derived from the EL method. We then discuss the asymptotic properties of this estimator. Subsequently, the model parameters are estimated using the MEL method, the conditional least squares method, and the conditional maximum likelihood method. The finite-sample performance of the proposed estimation procedures is examined through Monte Carlo simulation experiments. A real data example is further presented.

MathematicsVol. 14(13)
Changchun University of Science and Technology (CN), Changchun University (CN)
Openalex Percentile: Top 4%
Financial Risk and Volatility Modeling
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