Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance

DOI10.1007/s10463-019-00723-5zbMath1465.62146OpenAlexW2956102052MaRDI QIDQ2023456

Ngai Hang Chan, Chun Yip Yau, Kun Chen

Publication date: 3 May 2021

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-019-00723-5

zbMATH Keywords

periodogramEdgeworth expansionWhittle likelihoodcoverage error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Inference from stochastic processes and spectral analysis (62M15)

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