Empirical likelihood for martingale differences

DOI10.1111/JTSA.12800MaRDI QIDQ6877936zbMATH OpenFDO

Authors Anton Schick

Publication date 7 January 2026

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12800

zbMATH Keywords

blockwise empirical likelihoodconditional Lindeberg conditionmartingale central limit theoremtime series

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• Dual likelihood
• Empirical likelihood
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• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Empirical likelihood methods with weakly dependent processes
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood ratio confidence regions
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Cited in

(1)

• Blockwise empirical likelihood and efficiency for Markov chains

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