Technical Report #2008-08: Tapered empirical likelihood for time series
نویسنده
چکیده
We investigate data tapering in two formulations of empirical likelihood for time series. One empirical likelihood is formed from tapered data-blocks in the time-domain and a second is based on the tapered periodogram in the frequency-domain. Limiting distributions are provided for both empirical likelihood versions under tapering. Theoretical and simulation evidence indicate that a data taper improves the coverage accuracy of empirical likelihood confidence intervals for time series parameters, such as means and correlations. Some key words: Block bootstrap; Confidence interval; Periodogram; Variance estimation
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