7 citations · 8 across the 5 of their papers we have counts for
5 papers
Statistical Inference for Local Granger Causality
Yan Liu, Masanobu Taniguchi, Hernando Ombao
Granger causality has been employed to investigate causality relations between components of stationary multiple time series. We generalize this concept by developing statistical i…
Asymptotic Properties of the Maximum Likelihood Estimator in Regime-Switching Models with Time-Varying Transition Probabilities
Chaojun Li, Yan Liu
We prove the asymptotic properties of the maximum likelihood estimator (MLE) in time-varying transition probability (TVTP) regime-switching models. This class of models extends the…
Change point detection in autoregressive models with no moment assumptions
Fumiya Akashi, Holger Dette, Yan Liu
In this paper we consider the problem of detecting a change in the parameters of an autoregressive process, where the moments of the innovation process do not necessarily exist. An…
Quantile tests in frequency domain for sinusoid models
Yan Liu
For second order stationary processes, the spectral distribution function is uniquely deter- mined by the autocovariance functions of the processes. We define the quantiles of the…
An empirical likelihood approach for symmetric -stable processes
Fumiya Akashi, Yan Liu, Masanobu Taniguchi
Empirical likelihood approach is one of non-parametric statistical methods, which is applied to the hypothesis testing or construction of confidence regions for pivotal unknown qua…