Empirical likelihood confidence regions in time series models
时间序列模型的经验似然置信域
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.…