Tapered empirical likelihood for time series data in time and frequency domains
时域与频域中时间序列数据的渐消加权经验似然
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…