Bartlett correction of empirical likelihood for non-Gaussian short-memory time series

DOI10.1111/JTSA.12175MaRDI QIDQ2817310zbMATH OpenOpenAlexFDO

Authors Ngai Hang Chan, Chun Yip Yau, Kun Chen

Publication date 30 August 2016

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12175

zbMATH Keywords

coverage errorEdgeworth expansionhigher-order cumulantsperiodogramWhittle likelihood

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A frequency domain bootstrap for ratio statistics in time series analysis
• A frequency domain empirical likelihood for short- and long-range dependence
• An empirical likelihood approach for non-Gaussian vector stationary processes and its application to minimum contrast estimation
• An empirical likelihood approach for symmetric \(\alpha\)-stable processes
• Empirical likelihood as a goodness-of-fit measure
• Empirical likelihood confidence regions in time series models
• Empirical likelihood is Bartlett-correctable
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood ratio confidence regions
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3911472 (Why is no real title available?)
• Methodology and Algorithms of Empirical Likelihood
• On Bartlett correctability of empirical likelihood in generalized power divergence family
• On the validity of the formal Edgeworth expansion
• Properties of sufficiency and statistical tests
• The bootstrap and Edgeworth expansion

Cited in

(7)

• Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance
• On the Bartlett correction of empirical likelihood for Gaussian long-memory time series
• Robust empirical likelihood for time series
• On empirical likelihood test for predictability
• On Bartlett correction of empirical likelihood for regularly spaced spatial data
• Inference for short‐memory time series models based on modified empirical likelihood
• Small sample adjustment for hypotheses testing on cointegrating vectors

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