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Biometrika 1997 84(2):395-405; doi:10.1093/biomet/84.2.395
© 1997 by Biometrika Trust
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Empirical likelihood confidence regions in time series models

ANNA CLARA MONTI

University of Naples ‘Federico II’ Via Sanfelice 47, I-80134 Naples, Italy e-mail: acmonti{at}cds.unina.it

This paper develops empirical likelihood in time series models. By application of Whittle's estimation method, one obtains an M-estimator of the parameter of a stationary time series from approximately independent observations, the periodogram ordinates. This estimator is used to obtain an empirical likelihood ratio which is asymptotically distributed as x2 and which can be used to construct confidence regions. A procedure for the Bartlett correction is also proposed. Finally, small sample properties of the empirical likelihood confidence regions are explored through a simulation.

Key Words: ARMA models • Bootstrap • Empirical likehood • Whittle's likehood


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