Empirical likelihood in long-memory time series models

DOI10.1111/j.1467-9892.2011.00756.xzbMath1300.62084OpenAlexW2140113067MaRDI QIDQ2930886

Chun Yip Yau

Publication date: 20 November 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00756.x

zbMATH Keywords

empirical likelihoodBartlett correctionWhittle likelihoodARFIMA models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Point estimation (62F10)

Related Items (12)

Exponential tilted likelihood for stationary time series models ⋮ Empirical likelihood for moving average models ⋮ Adjusted blockwise empirical likelihood for long memory time series models ⋮ On the non-standard distribution of empirical likelihood estimators with spatial data ⋮ Empirical likelihood for break detection in time series ⋮ 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 time series models ⋮ A review of empirical likelihood methods for time series ⋮ Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process ⋮ Adjusted empirical likelihood for long-memory time-series models ⋮ Robust empirical likelihood for time series

Uses Software

• longmemo

Cites Work

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• 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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