Data tilting for time series |
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Authors: | Peter Hall Qiwei Yao |
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Affiliation: | Australian National University, Canberra, Australia ;London School of Economics and Political Science, UK, and Australian National University, Canberra, Australia |
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Abstract: | Summary. 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'. |
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Keywords: | Autoregression Bootstrap Confidence interval Constrained inference Empirical likelihood Linear time series Power divergence Robust inference |
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