Wilks' theorem for semiparametric regressions with weakly dependent data

DOI10.1214/21-AOS2081zbMATH Open1486.62239arXiv2006.06350OpenAlexW4200054434MaRDI QIDQ2073705FDOQ2073705

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)

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.

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

Recommendations

• Empirical likelihood methods with weakly dependent processes
• scientific article; zbMATH DE number 6129189
• Empirical likelihood for semiparametric varying-coefficient partially linear regression models
• Two-step semiparametric empirical likelihood inference
• Semiparametric estimation of moment condition models with weakly dependent data

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)

Cites Work

• Empirical likelihood methods with weakly dependent processes
• Semi-parametric estimation of partially linear single-index models
• Generalized Partially Linear Single-Index Models
• Estimation and testing for partially linear single-index models
• Extending the scope of empirical likelihood
• Profile likelihood and conditionally parametric models
• Empirical likelihood and general estimating equations
• Empirical likelihood
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Empirical likelihood ratio confidence intervals for a single functional
• Title not available (Why is that?)
• Empirical likelihood for partial linear models
• Basic properties of strong mixing conditions. A survey and some open questions
• Mixing properties of ARMA processes
• Title not available (Why is that?)
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• Mixing properties of ARCH and time-varying ARCH processes
• Empirical Likelihood Semiparametric Regression Analysis for Longitudinal Data
• A review on empirical likelihood methods for regression
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• On extended partially linear single-index models
• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• Nonparametric vector autoregression
• Empirical Likelihood Confidence Regions in a Partially Linear Single-Index Model
• Doubly Robust and Efficient Estimators for Heteroscedastic Partially Linear Single-Index Models Allowing high Dimensional Covariates
• High dimensional generalized empirical likelihood for moment restrictions with dependent data
• Local independence feature screening for nonparametric and semiparametric models by marginal empirical likelihood
• Marginal empirical likelihood and sure independence feature screening
• A review of empirical likelihood methods for time series
• Empirical likelihood inference for partial linear models under martingale difference sequence
• Empirical likelihood for partial linear models with fixed designs
• A Review of Nonparametric Time Series Analysis
• Empirical likelihood for single-index models
• Empirical likelihood inference for semiparametric model with linear process errors
• Bias-corrected empirical likelihood in a multi-link semiparametric model
• Empirical likelihood inference in partially linear single-index models for longitudinal data
• Empirical likelihood for heteroscedastic partially linear models
• Statistical analysis for multiplicatively modulated nonlinear autoregressive model and its applications to electrophysiological signal analysis in humans
• Non-linear time series and Markov chains
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• Estimating function approach for CHARN models
• Estimation for single-index and partially linear single-index integrated models
• Variance Function Partially Linear Single-Index Models
• A note on the geometric ergodicity of a nonlinear AR-ARCH model
• High-dimensional empirical likelihood inference
• Two-step semiparametric empirical likelihood inference

Cited In (1)

• Blockwise empirical Cressie-Read likelihood for weakly dependent data

Uses Software

• dlnm

This page was built for publication: Wilks' theorem for semiparametric regressions with weakly dependent data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2073705)