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Empirical likelihood inference for random coefficient INAR(p) process


Correspondence to: Dehui Wang, Institute of Mathematics, Jilin University, Changchun 130012, China.


In this article, we study the empirical likelihood (EL) method for the pth-order random coefficient integer-valued autoregressive process. In particular, the limiting distribution of the log EL ratio statistic is established and the confidence regions for the parameter of interest are derived. Also a simulation study is conducted for the evaluation of the developed approach.