A review of empirical likelihood methods for time series

  • Daniel J. Nordman
  • , Soumendra N. Lahiri

Research output: Contribution to journalReview articlepeer-review

41 Scopus citations

Abstract

We summarize advances in empirical likelihood (EL) for time series data. The EL formulation for independent data is briefly presented, which can apply for inference in special time series problems, reproducing the Wilks phenomenon of chi-square limits for log-ratio statistics. For more general inference with time series, versions of time domain block-based EL, and its generalizations based on divergence measures, are described along with their distributional properties; some approaches are intended for mixing time processes and others are tailored to time series with a Markovian structure. We also present frequency domain EL methods based on the periodogram. Finally, EL for long-range dependent processes is reviewed as well as recent advantages in EL for high dimensional problems. Some illustrative numerical examples are given along with a summary of open research issues for EL with dependent data.

Original languageEnglish
Pages (from-to)1-18
Number of pages18
JournalJournal of Statistical Planning and Inference
Volume155
DOIs
StatePublished - Dec 1 2014

Keywords

  • Blocking
  • Frequency domain
  • GARCH
  • High dimensional data
  • Kullback-Leibler distance
  • Long range dependence
  • Mahalanobis distance
  • Markov chains
  • Spatial data
  • Tapering
  • Whittle estimation

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