Hall, Peter and Yao, Qiwei (2003) Date tilting for time series. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 65 (2). pp. 425-442. ISSN 1369-7412
|
PDF
Download (345kB) | Preview |
Identification Number: https://doi.org/10.1111/1467-9868.00394
Abstract
We develop a general methodology for tilting time series data. Attention is focused on a large class of regression problems, where errors are expressed through autoregressive processes. The class has a range of important applications and in the context of our work may be used to illustrate the application of tilting methods to interval estimation in regression, robust statistical inference and estimation subject to constraints. The method can be viewed as ‘empirical likelihood with nuisance parameters’.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.blackwell-synergy.com/loi/rssb |
| Additional Information: | ® 2003 Blackwell Publishing |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 23 Jun 2008 08:51 |
| Last Modified: | 21 Sep 2025 02:07 |
| URI: | http://eprintstest.lse.ac.uk/id/eprint/5888 |
Actions (login required)
 |
View Item |
