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

Daniel J. Nordman, Philipp Sibbertsen and Soumendra N. Lahiri

Journal of Time Series Analysis, 2007, vol. 28, issue 4, 576-599

Abstract: Abstract. 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 with other confidence interval procedures involving subsampling or normal approximations.

Date: 2007
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Citations: View citations in EconPapers (6)

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https://doi.org/10.1111/j.1467-9892.2006.00526.x

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Working Paper: Empirical likelihood confidence intervals for the mean of a long-range dependent process (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:28:y:2007:i:4:p:576-599

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