Empirical likelihood for martingale differences
Year: 2024
Type: article
Abstract: In this article, we consider an empirical likelihood with vector observations that are martingale differences and prove a Wilks' type theorem under a conditional Lindeberg condition. We then generalize this result to approximate martingale differences. As applications of the first result we discuss the construction of confidence regions for various time series models, including linear and nonlinear autoregressive models, an ARCH(1) model, and nonlinear autoregressive models with heteroskedasticity. The second result is used to derive a Wilks' type theorem for a blockwise empirical likelihood for Markov chains.
Source: Journal of Time Series Analysis
DOI: 10.1111/jtsa.12800
Author: Anton Schick
Institution: Binghamton University
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
Estimated APC paid: $3,340
OpenAlex ID: W4404651069