On the coverage bound problem of empirical likelihood methods for time series

Abstract

The upper bounds on the coverage probabilities of the confidence regions based on blockwise empirical likelihood and non-standard expansive empirical likelihood methods for time series data are investigated via studying the probability of violating the convex hull constraint.The large sample bounds are derived on the basis of the pivotal limit of the… (More)

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@inproceedings{Zhang2015OnTC, title={On the coverage bound problem of empirical likelihood methods for time series}, author={Xianyang Zhang and Xiaofeng Shao and X. Shao}, year={2015} }