On the coverage bound problem of empirical likelihood methods for time series

DOI10.1111/RSSB.12119zbMATH Open1414.62389arXiv1401.5002OpenAlexW1948969682MaRDI QIDQ5378359FDOQ5378359

Authors: Xianyang Zhang, Xiaofeng Shao 

Publication date: 12 June 2019

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

Abstract: The upper bounds on the coverage probabilities of the confidence regions based on blockwise empirical likelihood [Kitamura (1997)] and nonstandard expansive empirical likelihood [Nordman et al. (2013)] methods for time series data are investigated via studying the probability for the violation of the convex hull constraint. The large sample bounds are derived on the basis of the pivotal limit of the blockwise empirical log-likelihood ratio obtained under the fixed-b asymptotics, which has been recently shown to provide a more accurate approximation to the finite sample distribution than the conventional chi-square approximation. Our theoretical and numerical findings suggest that both the finite sample and large sample upper bounds for coverage probabilities are strictly less than one and the blockwise empirical likelihood confidence region can exhibit serious undercoverage when (i) the dimension of moment conditions is moderate or large; (ii) the time series dependence is positively strong; or (iii) the block size is large relative to sample size. A similar finite sample coverage problem occurs for the nonstandard expansive empirical likelihood. To alleviate the coverage bound problem, we propose to penalize both empirical likelihood methods by relaxing the convex hull constraint. Numerical simulations and data illustration demonstrate the effectiveness of our proposed remedies in terms of delivering confidence sets with more accurate coverage.

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cited In (6)

• Bounds on coverage probabilities of the empirical likelihood ratio confidence regions.
• Empirical likelihood for a long range dependent process subordinated to a Gaussian process
• Coverage bound for fixed-\(b\) subsampling and generalized subsampling for time series
• Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
• A nonstandard empirical likelihood for time series
• Tapered empirical likelihood for time series data in time and frequency domains

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