Data Tilting for Time Series

DOI10.1111/1467-9868.00394MaRDI QIDQ4665865zbMATH OpenOpenAlexFDO

Authors Qiwei Yao, Peter Hall

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

autoregressionbootstrapconfidence intervalconstrained inferenceempirical likelihoodlinear time seriespower divergencerobust inference

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(10)

• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• Tilting methods for assessing the influence of components in a classifier
• Reduce computation in profile empirical likelihood method
• Regenerative block empirical likelihood for Markov chains
• Nonparametric estimation of operational value-at-risk (OpVaR)
• Confidence regions for high quantiles of a heavy tailed distribution
• scientific article; zbMATH DE number 1779829 (Why is no real title available?)
• Testing the predictability of U.S. housing price index returns based on an IVX-AR model
• Uniform Test for Predictive Regression With AR Errors
• Improved regression inference using a second overlapping regression model

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