A nonstandard empirical likelihood for time series

DOI10.1214/13-AOS1174zbMath1288.62130arXiv1401.1026WikidataQ57424570 ScholiaQ57424570MaRDI QIDQ2443212

Daniel J. Nordman, Helle Bunzel, Soumendra Nath Lahiri

Publication date: 4 April 2014

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

Full work available at URL: https://arxiv.org/abs/1401.1026

zbMATH Keywords

Brownian motionstationarityconfidence regionsweak dependence

Mathematics Subject Classification ID

Related Items (4)

Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework ⋮ Online Covariance Matrix Estimation in Stochastic Gradient Descent ⋮ A nonstandard empirical likelihood for time series ⋮ Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Empirical likelihood methods with weakly dependent processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Blockwise empirical likelihood for time series of counts
• Empirical likelihood ratio confidence regions
• A functional central limit theorem for weakly dependent sequences of random variables
• Resampling a coverage pattern
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• On the sample variance of linear statistics derived from mixing sequences
• On the validity of the formal Edgeworth expansion
• Subsampling
• Empirical likelihood and general estimating equations
• Resampling methods for dependent data
• The jackknife and the bootstrap for general stationary observations
• Weak convergence and empirical processes. With applications to statistics
• A nonstandard empirical likelihood for time series
• Computer-intensive rate estimation, diverging statistics and scanning
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• Methodology and Algorithms of Empirical Likelihood
• Empirical likelihood ratio confidence intervals for a single functional
• Automatic Block-Length Selection for the Dependent Bootstrap
• Testing That a Dependent Process Is Uncorrelated
• Simple Robust Testing of Hypotheses in Nonlinear Models
• Simple Robust Testing of Regression Hypotheses
• Empirical likelihood confidence intervals for the mean of a long‐range dependent process
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Blockwise empirical entropy tests for time series regressions
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• The bootstrap and Edgeworth expansion
• Blockwise empirical Euclidean likelihood for weakly dependent processes
• The impact of bootstrap methods on time series analysis

This page was built for publication: A nonstandard empirical likelihood for time series