Data tilting for time series

Peter Hall, Qiwei Yao*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    15 Citations (Scopus)

    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'.

    Original languageEnglish
    Pages (from-to)425-442
    Number of pages18
    JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
    Volume65
    Issue number2
    DOIs
    Publication statusPublished - 2003

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