A NONSTANDARD EMPIRICAL LIKELIHOOD FOR TIME SERIES

• 成果类型: Article
• 署名作者: Nordman, Daniel J.; Bunzel, Helle; Lahiri, Soumendra N.
• 署名单位: Iowa State University; Iowa State University; Aarhus University; CREATES; North Carolina State University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/13-AOS1174
• 发表日期: 2013
• 页码: 3050-3073
• 关键词: confidence-intervals; heteroskedasticity; statistics; bootstrap; variance

摘要

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.