Empirical Likelihood for Nonparametric Models Under Linear Process Errors |
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Authors: | Yongsong Qin Qingzhu Lei Lijun Luo |
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Institution: | 1. Department of Mathematics, Zhejiang Normal University, , Zhejiang, 321004 China;2. Department of Mathematics, Guangxi Normal University, , Guangxi, 541004 China |
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Abstract: | In this paper, we study the construction of confidence intervals for a nonparametric regression function under linear process errors by using the blockwise technique. It is shown that the blockwise empirical likelihood (EL) ratio statistic is asymptotically distributed. The result is used to obtain EL based confidence intervals for the nonparametric regression function. The finite‐sample performance of the method is evaluated through a simulation study. |
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Keywords: | confidence interval empirical likelihood nonparametric regression linear process |
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