Empirical likelihood and quantile methods for time series. Efficiency, robustness, optimality, and prediction

DOI10.1007/978-981-10-0152-9zbMath1418.62012OpenAlexW3196842529MaRDI QIDQ1722900

Masanobu Taniguchi, Fumiya Akashi, Yan Liu

Publication date: 18 February 2019

Published in: SpringerBriefs in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-10-0152-9

zbMATH Keywords

interpolationrobustnessparameter estimationtime seriesoptimalityasymptotic efficiencyextrapolationstationarityempirical likelihood methodchange point testcontrast functionprediction problemgeneralized empirical likelihood methodinfinite variance processlocation disparityquantile methodscale disparitysymmetric process

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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