On the Coverage Bound Problem of Empirical Likelihood Methods for Time Series

DOI10.1111/RSSB.12119zbMath1414.62389arXiv1401.5002OpenAlexW1948969682MaRDI QIDQ5378359

Xianyang Zhang, Xiao-Feng Shao

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.5002

zbMATH Keywords

coverage probabilitymoment conditionconvex hull constraintfixed \(b\) asymptoticsheteroscedasticity-auto-correlation robustness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Nonparametric tolerance and confidence regions (62G15)

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