Confidence intervals for probability density functions under strong mixing samples

Qingzhu Lei and Yongsong Qin

Journal of Nonparametric Statistics, 2015, vol. 27, issue 2, 181-193

Abstract: It is shown that the empirical likelihood (EL) ratio statistic for a probability density function (p.d.f.) is asymptotically -type distributed under a strong mixing sample, which is used to obtain an EL-based confidence interval (CI) for the p.d.f. Results of a simulation study on the finite sample performance of the CI are reported.

Date: 2015
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DOI: 10.1080/10485252.2015.1037303

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