Empirical likelihood confidence intervals for the mean of a long-range dependent process
This paper considers blockwise empirical likelihood for real-valued linear time processes which may exhibit either short- or long-range dependence. Empirical likelihood approaches intended for weakly dependent time series can fail in the presence of strong dependence. However, a modified blockwise method is proposed for confidence interval estimation of the process mean, which is valid for various dependence structures including long-range dependence. The finite-sample performance of the method is evaluated through a simulation study and compared to other confidence interval procedures involving subsampling or normal approximations.
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- Donald W.K. Andrews & Yixiao Sun, 2002.
"Adaptive Local Polynomial Whittle Estimation of Long-range Dependence,"
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0805, Exeter University, Department of Economics.
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