A review of empirical likelihood methods for time series

DOI10.1016/J.JSPI.2013.10.001zbMATH Open1307.62120OpenAlexW2045945507WikidataQ57440429 ScholiaQ57440429MaRDI QIDQ466523FDOQ466523

Authors: Soumendra N. 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

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zbMATH Keywords

taperingGARCHKullback-Leibler distanceMahalanobis distancehigh dimensional dataspatial dataMarkov chainsfrequency domainblockinglong range dependenceWhittle estimation

Mathematics Subject Classification ID

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

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Cited In (39)

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• Empirical likelihood for outlier detection and estimation in autoregressive time series
• Empirical likelihood confidence intervals for the mean of a long‐range dependent process
• Penalized empirical likelihood inference for the GINAR(p) model
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• Adjusted empirical likelihood for time series models
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• A general frequency domain method for assessing spatial covariance structures
• Empirical likelihood for moving average models
• Threshold autoregression analysis for finite-range time series of counts with an application on measles data

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