Wilks' theorem for semiparametric regressions with weakly dependent data

DOI10.1214/21-AOS2081MaRDI QIDQ2073705zbMATHOpenAlexFDO

Authors Marie Du Roy De Chaumaray, Matthieu Marbac, Valentin Patilea

Publication date 7 February 2022

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

Full work available at URL https://arxiv.org/abs/2006.06350

zbMATH Keywords

nonlinear time serieskernel smoothingparametric inferencenuisance functionpivotal statistic\( \alpha \)-mixing

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: The empirical likelihood inference is extended to a class of semiparametric models for stationary, weakly dependent series. A partially linear single-index regression is used for the conditional mean of the series given its past, and the present and past values of a vector of covariates. A parametric model for the conditional variance of the series is added to capture further nonlinear effects. We propose a fixed number of suitable moment equations which characterize the mean and variance model. We derive an empirical log-likelihood ratio which includes nonparametric estimators of several functions, and we show that this ratio has the same limit as in the case where these functions are known.

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Cited in

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• Blockwise empirical Cressie-Read likelihood for weakly dependent data

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