A review of empirical likelihood methods for time series

DOI10.1016/j.jspi.2013.10.001zbMath1307.62120OpenAlexW2045945507WikidataQ57440429 ScholiaQ57440429MaRDI QIDQ466523

Soumendra Nath Lahiri, Daniel J. Nordman

Publication date: 27 October 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2013.10.001

zbMATH Keywords

frequency domainMarkov chainsGARCHlong range dependenceblockingspatial dataKullback-Leibler distancehigh dimensional datataperingMahalanobis distanceWhittle estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items (23)

Exponential tilted likelihood for stationary time series models ⋮ Bayesian empirical likelihood inference and order shrinkage for autoregressive models ⋮ Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework ⋮ Empirical likelihood for change point detection in autoregressive models ⋮ Empirical likelihood inference for INAR(1) model with explanatory variables ⋮ Empirical likelihood for moving average models ⋮ Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning ⋮ On the non-standard distribution of empirical likelihood estimators with spatial data ⋮ Penalized empirical likelihood inference for the GINAR(p) model ⋮ Empirical likelihood ratio in penalty form and the convex hull problem ⋮ Inference for short‐memory time series models based on modified empirical likelihood ⋮ Adjusted jackknife empirical likelihood for stationary ARMA and ARFIMA models ⋮ Adjusted empirical likelihood for time series models ⋮ A general frequency domain method for assessing spatial covariance structures ⋮ Empirical likelihood-based inference in regressive model with moment restrictions ⋮ Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance ⋮ Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series ⋮ Threshold autoregression analysis for finite-range time series of counts with an application on measles data ⋮ Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts ⋮ Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process ⋮ Wilks' theorem for semiparametric regressions with weakly dependent data ⋮ Adjusted empirical likelihood for long-memory time-series models ⋮ High dimensional generalized empirical likelihood for moment restrictions with dependent data

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