Data Tilting for Time Series

DOI10.1111/1467-9868.00394zbMath1065.62154OpenAlexW2067551365MaRDI QIDQ4665865

Qiwei Yao

Publication date: 11 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/5888/1/Date_tilting_for_time_series%28LSERO%29.pdf

zbMATH Keywords

bootstrapconfidence intervallinear time seriesempirical likelihoodautoregressionpower divergencerobust inferenceconstrained inference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites Work

• Empirical likelihood methods with weakly dependent processes
• Goodness-of-fit statistics for discrete multivariate data
• Time series: theory and methods.
• The bootstrap and Edgeworth expansion

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