Empirical likelihood for nonparametric regression functions under $$\rho $$ ρ -mixing high-frequency data

Wenjing Tang and Yongsong Qin ()
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Wenjing Tang: Guangxi Normal University
Yongsong Qin: Guangxi Normal University

Statistical Papers, 2025, vol. 66, issue 3, No 11, 27 pages

Abstract: Abstract The wide application of high-frequency data has attracted the in-depth research of scholars in various fields, especially in econometrics and statistics. In this article, we construct a blockwise empirical likelihood (EL) ratio statistic for a nonparametric regression function under $$\rho $$ ρ -mixing high-frequency data and show that the blockwise EL ratio statistic is asymptotically $$\chi ^2$$ χ 2 -type distributed. The asymptotic confidence interval (CI) for the nonparametric regression function based on the blockwise EL approach is thus given. The results of a simulation study on the finite sample performance of the CIs are presented. At the same time the theoretical findings are applied to a real data analysis. Numerical simulation results show that the CIs constructed by the blockwise EL method perform better than those constructed by the normal approximation method.

Keywords: High-frequency data; $$\rho $$ ρ -Mixing; Nonparametric regression function; Blockwise empirical likelihood; Primary 62G05; secondary 62E20 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s00362-025-01683-0

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