Adjusted empirical likelihood for long-memory time-series models

DOI10.1080/15598608.2016.1271373zbMath1420.62138arXiv1604.06170OpenAlexW2338667774MaRDI QIDQ2323270

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

Publication date: 30 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.06170

zbMATH Keywords

coverage probabilityconfidence regionsBartlett correctionWhittle's likelihoodARFIMA modelsadjusted empirical likelihood

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09)

Related Items (4)

Exponential tilted likelihood for stationary time series models ⋮ Empirical likelihood for moving average models ⋮ Adjusted jackknife empirical likelihood for stationary ARMA and ARFIMA models ⋮ Adjusted empirical likelihood for time series models

Uses Software

• longmemo

Cites Work

• Empirical likelihood methods with weakly dependent processes
• A review of empirical likelihood methods for time series
• Empirical likelihood ratio confidence regions
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Empirical likelihood for linear models
• Adjusted empirical likelihood for time series models
• Dual likelihood
• Empirical likelihood is Bartlett-correctable
• 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 ratio confidence intervals for a single functional
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Empirical likelihood confidence regions in time series models
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