Empirical likelihood approach toward discriminant analysis for dynamics of stable processes

Fumiya Akashi*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


Discriminant analysis for time series models has been studied by many authors in these few decades, but many of them deal with second order stationary processes. In this paper, we introduce an empirical likelihood statistic based on a Whittle likelihood as a classification statistic, and consider problems of classifying an α-stable linear process into one of two categories described by pivotal quantities θ1 and θ2 of time series models. It is shown that misclassification probabilities by the empirical likelihood criterion converge to 0 asymptotically without assuming that the true model is known. We also evaluate misclassification probabilities when θ2 is contiguous to θ1, and carry out simulation studies to make a comparison between goodness of the empirical likelihood classification statistic and that of an existing method. We observed that the empirical likelihood ratio discriminant statistic performs better than the existing method in some cases even if a family of score functions does not contain the true model. Since the stable processes do not have the finite second moment, this extension is not straightforward, and contains a lot of innovative aspects.

Original languageEnglish
Pages (from-to)25-43
Number of pages19
JournalStatistical Methodology
Issue number1
Publication statusPublished - 2014 Jul


  • Classification statistics
  • Discriminant analysis
  • Empirical likelihood ratio
  • Normalized power transfer functions
  • Stable process

ASJC Scopus subject areas

  • Statistics and Probability


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