A review of empirical likelihood methods for time series (Q466523): Difference between revisions

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English	A review of empirical likelihood methods for time series	scientific article

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scholarly article

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A review of empirical likelihood methods for time series (English)

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Soumendra Nath Lahiri

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Daniel J. Nordman

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Journal of Statistical Planning and Inference

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publication date

27 October 2014

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zbMATH Keywords

blocking

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frequency domain

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GARCH

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high dimensional data

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Kullback-Leibler distance

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long range dependence

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Mahalanobis distance

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Markov chains

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spatial data

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tapering

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Whittle estimation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jspi.2013.10.001

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Measure Theory and Probability Theory

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Empirical likelihood as a goodness-of-fit measure

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A frequency domain empirical likelihood method for irregularly spaced spatial data

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A penalized version of the empirical likelihood ratio for the population mean

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Nonparametric likelihood inference for general autoregressive models

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Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models

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Blockwise empirical entropy tests for time series regressions

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Blockwise empirical Cressie--Read test statistics for \(\alpha\)-mixing processes.

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EMPIRICAL LIKELIHOOD FOR GARCH MODELS

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On Bartlett correction of empirical likelihood in the presence of nuisance parameters

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On the second-order properties of empirical likelihood with moment restrictions

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Empirical likelihood inference for partial linear models under martingale difference sequence

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An adaptive empirical likelihood test for parametric time series regression models

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An Empirical Likelihood Goodness-of-Fit Test for Time Series

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Effects of data dimension on empirical likelihood

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Empirical Likelihood for Threshold Autoregressive Models

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A review on empirical likelihood methods for regression

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Empirical Euclidean likelihood for general estimating equations under association dependence

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On the Kullback-Leibler information divergence of locally stationary processes

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Fitting time series models to nonstationary processes

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A frequency domain bootstrap for ratio statistics in time series analysis

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Empirical likelihood is Bartlett-correctable

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Nonparametric standard errors and confidence intervals

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Calibration of the empirical likelihood method for a vector mean

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Empirical likelihood inference for semiparametric model with linear process errors

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Empirical likelihood for partially time-varying coefficient models with dependent observations

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Generalized empirical likelihood tests in time series models with potential identification failure

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The bootstrap and Edgeworth expansion

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Methodology and Algorithms of Empirical Likelihood

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The asymptotic theory of linear time-series models

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Large Sample Properties of Generalized Method of Moments Estimators

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Regenerative block empirical likelihood for Markov chains

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Extending the scope of empirical likelihood

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Fractional differencing

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Empirical likelihood based inference for semiparametric varying coefficient partially linear models with error-prone linear covariates

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Blockwise empirical likelihood for spatial Markov model assessment

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A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

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Empirical likelihood methods with weakly dependent processes

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An Information-Theoretic Alternative to Generalized Method of Moments Estimation

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The jackknife and the bootstrap for general stationary observations

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Autoregressive-aided periodogram bootstrap for time series

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On the range of validity of the autoregressive sieve bootstrap

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Resampling methods for dependent data

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On the Mahalanobis-distance based penalized empirical likelihood method in high dimensions

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A penalized empirical likelihood method in high dimensions

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Empirical likelihood for quantiles under negatively associated samples

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Empirical likelihood confidence intervals for nonparametric functional data analysis

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Empirical likelihood for AR-ARCH models based on LAD estimation

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Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models

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Blockwise empirical Euclidean likelihood for weakly dependent processes

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Confidence intervals for probability density functions under associated samples

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Fractional Brownian Motions, Fractional Noises and Applications

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Markov chains and stochastic stability

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Empirical likelihood confidence regions in time series models

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Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

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An empirical likelihood method for spatial regression

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Tapered empirical likelihood for time series data in time and frequency domains

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Point and Interval Estimation of Variogram Models Using Spatial Empirical Likelihood

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A frequency domain empirical likelihood for short- and long-range dependence

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Empirical likelihood confidence intervals for the mean of a long‐range dependent process

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Estimation for non-Gaussian locally stationary processes with empirical likelihood method

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AN EMPIRICAL LIKELIHOOD APPROACH FOR NON‐GAUSSIAN VECTOR STATIONARY PROCESSES AND ITS APPLICATION TO MINIMUM CONTRAST ESTIMATION

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Penalized empirical likelihood estimation of semiparametric models

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GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION

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Empirical likelihood ratio confidence intervals for a single functional

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Empirical likelihood ratio confidence regions

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Empirical likelihood for linear models

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Tapered block bootstrap

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Automatic Block-Length Selection for the Dependent Bootstrap

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Empirical likelihood and general estimating equations

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Estimating equations, empirical likelihood and constraints on parameters

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Empirical likelihood for linear models under negatively associated errors

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Empirical likelihood for probability density functions under negatively associated samples

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Gaussian semiparametric estimation of long range dependence

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Log-periodogram regression of time series with long range dependence

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A Self-Normalized Approach to Confidence Interval Construction in Time Series

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Penalized high-dimensional empirical likelihood

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Testing conditional moment restrictions

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Bounds on coverage probabilities of the empirical likelihood ratio confidence regions.

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Comments on: A review on empirical likelihood methods for regression

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The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses

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Blockwise empirical likelihood for time series of counts

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Empirical likelihood inference for probability density functions under association

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A CENTRAL LIMIT THEOREM OF FOURIER TRANSFORMS OF STRONGLY DEPENDENT STATIONARY PROCESSES

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Empirical likelihood in long-memory time series models

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Empirical likelihood for NA series

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Empirical likelihood ratio confidence interval for positively associated series

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Jackknife-blockwise empirical likelihood methods under dependence

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Empirical Likelihood for an Autoregressive Model with Explanatory Variables

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Statistical inference for generalized random coefficient autoregressive model

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JSPI.2013.10.001

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Sitelinks

Mathematics(1 entry)

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