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Empirical likelihood confidence intervals for the mean of a long-range dependent process

Autor: Dan Nordman and Philipp Sibbertsen and Soumendra N. Lahiri
Nummer: 327, Nov 2005, pp. 26
JEL-Class: C13, C22

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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