Title: Empirical likelihood under short- and long-range dependence
Authors: Soumendra Lahiri - North Carolina State University (United States) [presenting]
Abstract: Different versions of block empirical likelihood methods for time series data withshort- and long-range dependence are considered. As it is well known, the standard overlapping block empirical likelihood requires a choice of the block size and also a scale adjustment to achieve a distribution free limit law. We consider nonstandard variants of the blocking rule that overcome these limitations in the short-range dependent case. We also investigate if similar properties continue to hold for these methods when the underlying process is long-range dependent.