TY - JOUR
T1 - A review of empirical likelihood methods for time series
AU - Nordman, Daniel J.
AU - Lahiri, Soumendra N.
N1 - Publisher Copyright:
© 2013 Elsevier B.V.
PY - 2014/12/1
Y1 - 2014/12/1
N2 - 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.
AB - 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.
KW - Blocking
KW - Frequency domain
KW - GARCH
KW - High dimensional data
KW - Kullback-Leibler distance
KW - Long range dependence
KW - Mahalanobis distance
KW - Markov chains
KW - Spatial data
KW - Tapering
KW - Whittle estimation
UR - https://www.scopus.com/pages/publications/84908214211
U2 - 10.1016/j.jspi.2013.10.001
DO - 10.1016/j.jspi.2013.10.001
M3 - Review article
AN - SCOPUS:84908214211
SN - 0378-3758
VL - 155
SP - 1
EP - 18
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
ER -