EMPIRICAL LIKELIHOOD CONFIDENCE INTERVALS FOR DEPENDENT DURATION DATA

B-Tier
Journal: Econometric Theory
Year: 2011
Volume: 27
Issue: 1
Pages: 178-198

Authors (3)

El Ghouch, Anouar (not in RePEc) Van Keilegom, Ingrid (KU Leuven) McKeague, Ian W. (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Three types of confidence intervals are developed for a general class of functionals of a survival distribution based on censored dependent data. The confidence intervals are constructed via asymptotic normality (Wald’s method), the empirical likelihood (EL) method, and the blockwise EL method in which sample means over blocks of observations are used in place of the original data. Asymptotic results are derived to accurately calibrate the various procedures, and their performance is evaluated in a simulation study. The problem of the choice of the block size is also discussed.

Technical Details

RePEc Handle
repec:cup:etheor:v:27:y:2011:i:01:p:178-198_00
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-29