Empirical likelihood methods with weakly dependent processes

DOI10.1214/AOS/1069362388MaRDI QIDQ100555zbMATH OpenOpenAlexFDO

Authors Yuichi Kitamura

Publication date 1 October 1997

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1069362388

zbMATH Keywords

Bartlett correctionEdgeworth expansionempirical likelihoodestimating functiongeneralized method of momentsnonparametric likelihoodspectral densitystrong mixingtime series regressionweak dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Weighted empirical likelihood inference for dynamical correlations
• Adjusted blockwise empirical likelihood for long memory time series models
• Portfolio optimization based on stochastic dominance and empirical likelihood
• Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
• Adjusted empirical likelihood for time series models
• Empirical likelihood inference for functional coefficient ARCH-M model
• GEL estimation and tests of spatial autoregressive models
• A class of observation-driven random coefficient INAR(1) processes based on negative binomial thinning
• Sieve empirical likelihood ratio tests for nonparametric functions
• Empirical likelihood-based inference under imputation for missing response data
• Connections between entropic and linear projections in asset pricing estimation
• Limited information likelihood and Bayesian analysis
• Empirical likelihood semiparametric regression analysis under random censorship
• Blockwise empirical Cressie--Read test statistics for -mixing processes.
• Parameter estimation and model testing for Markov processes via conditional characteristic functions
• Empirical likelihood inference for partially time-varying coefficient errors-in-variables models
• A note on residual-based empirical likelihood kernel density estimation
• Empirical likelihood for mixed regressive, spatial autoregressive model based on GMM
• Wilks' theorem for semiparametric regressions with weakly dependent data
• Bayesian empirical likelihood inference and order shrinkage for autoregressive models
• Empirical likelihood method for longitudinal data generated from unequally-spaced Lèvy processes
• Empirical likelihood for change point detection in autoregressive models
• Empirical likelihood for nonparametric regression models with spatial autoregressive errors
• Empirical likelihood for spatial dynamic panel data models
• Bandwidth selection in blocks empirical likelihood method for time series
• Split sample empirical likelihood
• Adjusted jackknife empirical likelihood for stationary ARMA and ARFIMA models
• A general frequency domain method for assessing spatial covariance structures
• Hypothesis testing for high-dimensional time series via self-normalization
• Inference of local regression in the presence of nuisance parameters
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• Bias-corrected empirical likelihood in a multi-link semiparametric model
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Robust causality test of infinite variance processes
• Adjusted empirical likelihood for long-memory time-series models
• Empirical likelihood for quantiles under associated samples
• High dimensional generalized empirical likelihood for moment restrictions with dependent data
• A frequency domain empirical likelihood method for irregularly spaced spatial data
• A frequency domain empirical likelihood for short- and long-range dependence
• On the non-standard distribution of empirical likelihood estimators with spatial data
• Interval estimation for a simple bilinear model
• A nonstandard empirical likelihood for time series
• Empirical likelihood inference for partial linear models with ARCH(1) errors
• On Bartlett correctability of empirical likelihood in generalized power divergence family
• A test for model specification of diffusion processes
• Empirical likelihood for linear models under \(m\)-dependent errors
• Empirical likelihood for NA series
• Empirical likelihood in a regression model with noised variables
• Empirical likelihood for single-index models
• Joint empirical likelihood confidence regions for a finite number of quantiles under negatively associated samples
• Nonparametric likelihood inference for general autoregressive models
• A note on the asymptotic behaviour of empirical likelihood statistics
• Optimally combining censored and uncensored datasets
• Asymptotic properties of wavelet-based estimator in nonparametric regression model with weakly dependent processes
• Asymptotic expansions for sums of block-variables under weak dependence
• gmm
• Empirical likelihood for linear models under linear process errors
• Information in generalized method of moments estimation and entropy-based moment selection
• Confidence intervals for the difference between two partial AUCs
• Empirical likelihood for nonparametric models under linear process errors
• A moving blocks empirical likelihood method for longitudinal data
• Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
• Improved generalized method of moments estimators for weakly dependent observations
• Empirical Likelihood Confidence Intervals for Distribution Functions under Negatively Associated Samples
• Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
• Empirical Likelihood for Threshold Autoregressive Models
• On the second-order properties of empirical likelihood with moment restrictions
• An adaptive empirical likelihood test for parametric time series regression models
• Quantile estimation in the presence of auxiliary information under negatively associated samples
• Empirical likelihood for partially time-varying coefficient models with dependent observations
• Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
• Breakdown point theory for implied probability bootstrap
• Generalized empirical likelihood tests in time series models with potential identification failure
• Estimating the conditional error distribution in non-parametric regression
• Efficient estimation for semi-varying coefficient model with an invertible linear process error
• Empirical likelihood in long-memory time series models
• Semi-parametric efficient inference for heteroscedastic semivarying-coefficient models
• On self-normalization for censored dependent data
• Empirical likelihood confidence intervals for response mean with data missing at random
• MOMENT-BASED INFERENCE WITH STRATIFIED DATA
• Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
• Empirical likelihood confidence intervals for dependent duration data
• The empirical likelihood for first-order random coefficient integer-valued autoregressive pro\-cesses
• Confidence intervals for nonparametric regression functions under negatively associated errors
• Regenerative block empirical likelihood for Markov chains
• GEL criteria for moment condition models
• Generalized moment estimation of stochastic differential equations
• Econometric estimation with high-dimensional moment equalities
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• Empirical likelihood for partially linear models under negatively associated errors
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• Empirical Likelihood Confidence Regions in a Partially Linear Single-Index Model
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION

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