Adjusted empirical likelihood for time series models

DOI10.1007/s13571-017-0137-yzbMath1383.62207arXiv1602.09128OpenAlexW2291944897MaRDI QIDQ1698218

Wei Ning, Arjun K. Gupta, Ramadha D. Piyadi Gamage

Publication date: 15 February 2018

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.09128

zbMATH Keywords

coverage probabilityARMA modelsBartlett correctionWhittle's likelihoodadjusted empirical likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

Related Items (6)

Exponential tilted likelihood for stationary time series models ⋮ Empirical likelihood for moving average models ⋮ Adjusted blockwise empirical likelihood for long memory time series models ⋮ Inference for short‐memory time series models based on modified empirical likelihood ⋮ Adjusted jackknife empirical likelihood for stationary ARMA and ARFIMA models ⋮ Adjusted empirical likelihood for long-memory time-series models

Uses Software

• TSA

Cites Work

• Empirical likelihood methods with weakly dependent processes
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• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
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• Dual likelihood
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• Adjusted empirical likelihood for long-memory time-series models
• A frequency domain empirical likelihood for short- and long-range dependence
• Estimation and information in stationary time series
• Empirical likelihood in long-memory time series models
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood confidence regions in time series models
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