Biometrika Advance Access originally published online on January 30, 2009
Biometrika 2009 96(1):119-132; doi:10.1093/biomet/asn071
Articles |
Tapered empirical likelihood for time series data in time and frequency domains
Department of Statistics, Iowa State University, Ames, Iowa 50011, U.S.A. dnordman{at}iastate.edu
Received for publication 1 May 2007. Revision received 1 August 2008.
We investigate data tapering in two formulations of empirical likelihood for time series. One empirical likelihood is formed from tapered data blocks in the time domain and a second is based on the tapered periodogram in the frequency domain. Limiting distributions are provided for both empirical likelihood versions under tapering. Theoretical and simulation evidence indicates that a data taper improves the coverage accuracy of empirical likelihood confidence intervals for time series parameters, such as means and correlations.
Key Words: Block bootstrap • Confidence interval • Empirical likelihood • Periodogram • Tapering • Variance estimation
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