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2014 On the Bartlett correction of empirical likelihood for Gaussian long-memory time series
Ngai Hang Chan, Kun Chen, Chun Yip Yau
Electron. J. Statist. 8(1): 1460-1490 (2014). DOI: 10.1214/14-EJS930A

Abstract

Bartlett correction is one of the desirable features of empirical likelihood (EL) since it allows constructions of confidence regions with improved coverage probabilities. Previous studies demonstrated the Bartlett correction of EL for independent observations and for short-memory time series. By establishing the validity of Edgeworth expansion for the signed root empirical log-likelihood ratio, the validity of Bartlett correction of EL for Gaussian long-memory time series is established. In particular, orders of the coverage error of confidence regions can be reduced from $\log^{6}n/n$ to $\log^{3}n/n$, which is different from the classical rate of reduction from $n^{-1}$ to $n^{-2}$.

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Ngai Hang Chan. Kun Chen. Chun Yip Yau. "On the Bartlett correction of empirical likelihood for Gaussian long-memory time series." Electron. J. Statist. 8 (1) 1460 - 1490, 2014. https://doi.org/10.1214/14-EJS930A

Information

Published: 2014
First available in Project Euclid: 26 August 2014

zbMATH: 1298.62037
MathSciNet: MR3545163
Digital Object Identifier: 10.1214/14-EJS930A

Subjects:
Primary: 62F10, 62M10

Rights: Copyright © 2014 The Institute of Mathematical Statistics and the Bernoulli Society

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Vol.8 • No. 1 • 2014
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