Adjusted jackknife empirical likelihood for stationary ARMA and ARFIMA models

DOI10.1016/J.SPL.2020.108830MaRDI QIDQ2197602zbMATHOpenAlexFDO

Authors Xiuzhen Zhang, Zhiping Lu, Yangye Wang, Riquan Zhang

Publication date 1 September 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108830

zbMATH Keywords

empirical likelihoodstationary time seriesWhittle estimatoradjusted jackknife empirical likelihoodjackknife empirical log-likelihood ratio

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Adjusted empirical likelihood for long-memory time-series models
• Adjusted empirical likelihood for time series models
• Adjusted empirical likelihood with high-order precision
• Balanced augmented jackknife empirical likelihood for two sample \(U\)-statistics
• Bounds on coverage probabilities of the empirical likelihood ratio confidence regions.
• Empirical likelihood
• Empirical likelihood confidence regions in time series models
• Empirical likelihood in long-memory time series models
• Empirical likelihood methods with weakly dependent processes
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood ratio confidence regions
• Estimation and information in stationary time series
• Fractional differencing
• Jackknife Empirical Likelihood
• Jackknife empirical likelihood inference with regression imputation and survey data
• Jackknifed Whittle estimators
• Smoothed jackknife empirical likelihood inference for the difference of ROC curves
• Smoothed jackknife empirical likelihood method for ROC curve
• Tapered empirical likelihood for time series data in time and frequency domains

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Uses Software

• longmemo

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