Open Access
Translator Disclaimer
December 2013 A nonstandard empirical likelihood for time series
Daniel J. Nordman, Helle Bunzel, Soumendra N. Lahiri
Ann. Statist. 41(6): 3050-3073 (December 2013). DOI: 10.1214/13-AOS1174

Abstract

Standard blockwise empirical likelihood (BEL) for stationary, weakly dependent time series requires specifying a fixed block length as a tuning parameter for setting confidence regions. This aspect can be difficult and impacts coverage accuracy. As an alternative, this paper proposes a new version of BEL based on a simple, though nonstandard, data-blocking rule which uses a data block of every possible length. Consequently, the method does not involve the usual block selection issues and is also anticipated to exhibit better coverage performance. Its nonstandard blocking scheme, however, induces nonstandard asymptotics and requires a significantly different development compared to standard BEL. We establish the large-sample distribution of log-ratio statistics from the new BEL method for calibrating confidence regions for mean or smooth function parameters of time series. This limit law is not the usual chi-square one, but is distribution-free and can be reproduced through straightforward simulations. Numerical studies indicate that the proposed method generally exhibits better coverage accuracy than standard BEL.

Citation

Download Citation

Daniel J. Nordman. Helle Bunzel. Soumendra N. Lahiri. "A nonstandard empirical likelihood for time series." Ann. Statist. 41 (6) 3050 - 3073, December 2013. https://doi.org/10.1214/13-AOS1174

Information

Published: December 2013
First available in Project Euclid: 1 January 2014

zbMATH: 1288.62130
MathSciNet: MR3161457
Digital Object Identifier: 10.1214/13-AOS1174

Subjects:
Primary: 62G09
Secondary: 62G20 , 62M10

Keywords: Brownian motion , Confidence regions , stationarity , Weak dependence

Rights: Copyright © 2013 Institute of Mathematical Statistics

JOURNAL ARTICLE
24 PAGES


SHARE
Vol.41 • No. 6 • December 2013
Back to Top