Tapered empirical likelihood for time series data in time and frequency domains

Daniel J. Nordman

Biometrika, 2009, vol. 96, issue 1, 119-132

Abstract: 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 indicates that a data taper improves the coverage accuracy of empirical likelihood confidence intervals for time series parameters, such as means and correlations. Copyright 2009, Oxford University Press.

Date: 2009
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