Deyuan Li
Fudan University
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Publication
Featured researches published by Deyuan Li.
Econometric Theory | 2012
Ngai Hang Chan; Deyuan Li; Liang Peng
An empirical likelihood–based confidence interval is proposed for interval estimations of the autoregressive coefficient of a first-order autoregressive model via weighted score equations. Although the proposed weighted estimate is less efficient than the usual least squares estimate, its asymptotic limit is always normal without assuming stationarity of the process. Unlike the bootstrap method or the least squares procedure, the proposed empirical likelihood–based confidence interval is applicable regardless of whether the underlying autoregressive process is stationary, unit root, near-integrated, or even explosive, thereby providing a unified approach for interval estimation of an AR(1) model to encompass all situations. Finite-sample simulation studies confirm the effectiveness of the proposed method.
Econometric Theory | 2013
Ngai Hang Chan; Deyuan Li; Liang Peng; Rongmao Zhang
Relevant sample quantities such as the sample autocorrelation function and extremes contain useful information about autoregressive time series with heteroskedastic errors. As these quantities usually depend on the tail index of the underlying heteroskedastic time series, estimating the tail index becomes an important task. Since the tail index of such a model is determined by a moment equation, one can estimate the underlying tail index by solving the sample moment equation with the unknown parameters being replaced by their quasi-maximum likelihood estimates. To construct a confidence interval for the tail index, one needs to estimate the complicated asymptotic variance of the tail index estimator, however. In this paper the asymptotic normality of the tail index estimator is first derived, and a profile empirical likelihood method to construct a confidence interval for the tail index is then proposed. A simulation study shows that the proposed empirical likelihood method works better than the bootstrap method in terms of coverage accuracy, especially when the process is nearly nonstationary.
Communications in Statistics-theory and Methods | 2016
Jürg Hüsler; Deyuan Li; Mathias Raschke
ABSTRACT When a distribution function is in the max domain of attraction of an extreme value distribution, its tail can be well approximated by a generalized Pareto distribution. Based on this fact we use a moment estimation idea to propose an adapted maximum likelihood estimator for the extreme value index, which can be understood as a combination of the maximum likelihood estimation and moment estimation. Under certain regularity conditions, we derive the asymptotic normality of the new estimator and investigate its finite sample behavior by comparing with several classical or competitive estimators. A simulation study shows that the new estimator is competitive with other estimators in view of average bias, average MSE, and coefficient of variance of the new device for the optimal selection of the threshold.
Econometric Theory | 2014
Deyuan Li; Ngai Hang Chan; Liang Peng
Testing for causality is of critical importance for many econometric applications. For bivariate AR(1) processes, the limit distributions of causality tests based on least squares estimation depend on the presence of nonstationary processes. When nonstationary processes are present, the limit distributions of such tests are usually very complicated, and the full-sample bootstrap method becomes inconsistent as pointed out in Choi (2005, Statistics and Probability Letters 75, 39–48). In this paper, a profile empirical likelihood method is proposed to test for causality. The proposed test statistic is robust against the presence of nonstationary processes in the sense that one does not have to determine the existence of nonstationary processes a priori. Simulation studies confirm that the proposed test statistic works well.
Extremes | 2006
Jürg Hüsler; Deyuan Li
Journal of Statistical Planning and Inference | 2009
Jürg Hüsler; Deyuan Li
Journal of Statistical Planning and Inference | 2010
Deyuan Li; Liang Peng; Jingping Yang
Journal of Statistical Planning and Inference | 2009
Deyuan Li; Liang Peng
Test | 2011
Deyuan Li; Liang Peng; Yongcheng Qi
Journal of Statistical Planning and Inference | 2010
Alexandru Vali Asimit; Deyuan Li; Liang Peng