@TechReport{dp-327,
  author        = {Nordman, Dan Nordman and Sibbertsen, Philipp and Lahiri,
                  Soumendra N.},
  astring       = {Dan Nordman and Philipp Sibbertsen and Soumendra N.
                  Lahiri},
  title         = {Empirical likelihood confidence intervals for the mean of
                  a long-range dependent process},
  month         = {November},
  year          = {2005},
  pages         = {26},
  size          = {272},
  number        = {327},
  language      = {en},
  keywords      = {blocking, confidence interval, empirical likelihood,
                  FARIMA, long-range dependence},
  jelclass      = {C13, C22},
  zfassung      = {},
  abstract      = {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.}
}