A nonstandard empirical likelihood for time series

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  • D.J. Nordman, Iowa State University
  • ,
  • H. Bunzel, Denmark
  • S.N. Lahiri, North Carolina State University
Standard blockwise empirical likelihood (BEL) for stationary, weakly dependent time series requires specifying a fixed block length as a tuning parameter for setting confidence regions. This aspect can be difficult and impacts coverage accuracy. As an alternative, this paper proposes a new version of BEL based on a simple, though nonstandard, data-blocking rule which uses a data block of every possible length. Consequently, the method does not involve the usual block selection issues and is also anticipated to exhibit better coverage performance. Its nonstandard blocking scheme, however, induces nonstandard asymptotics and requires a significantly different development compared to standard BEL. We establish the large-sample distribution of log-ratio statistics from the new BEL method for calibrating confidence regions for mean or smooth function parameters of time series. This limit law is not the usual chi-square one, but is distribution-free and can be reproduced through straightforward simulations. Numerical studies indicate that the proposed method generally exhibits better coverage accuracy than standard BEL.
Original languageEnglish
JournalAnnals of Statistics
Volume41
Issue6
Pages (from-to)3050-3073
Number of pages24
ISSN0090-5364
DOIs
Publication statusPublished - 1 Dec 2013

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