On empirical likelihood inference of a change-point

Gang Shen

Statistics & Probability Letters, 2013, vol. 83, issue 7, 1662-1668

Abstract: Trimming is necessary for the empirical likelihood inference in the change-point problem. This work studies the asymptotic behavior of the trimmed empirical likelihood ratio (ELR) statistic in its full spectrum. Our results show it is comparable with its parametric counterpart.

Keywords: Change-point; Empirical likelihood; Non-parametric; Trimming (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2013.03.014

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