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Date tilting for time series

By Peter Hall and Qiwei Yao

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’

Topics: HA Statistics
Publisher: Wiley on behalf of the Royal Statistical Society
Year: 2003
DOI identifier: 10.1111/1467-9868.00394
OAI identifier: oai:eprints.lse.ac.uk:5888
Provided by: LSE Research Online

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