Resource title

Empirical likelihood confidence intervals for the mean of a long-range dependent process

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Resource description

This paper considers blockwise empirical likelihood for real-valued linear time processes which may exhibit either short- or long-range dependence. Empirical likelihood approaches intended for weakly dependent time series can fail in the presence of strong dependence. However, a modified blockwise method is proposed for confidence interval estimation of the process mean, which is valid for various dependence structures including long-range dependence. The finite-sample performance of the method is evaluated through a simulation study and compared to other confidence interval procedures involving subsampling or normal approximations.

Resource author

Daniel Nordman, Philipp Sibbertsen, Soumendra N. Lahiri

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22439

Resource license

Adapt according to the presented license agreement and reference the original author.