Jackknife Empirical Likelihood for Time Series Data in Frequency Domain

• Activity Number: 584 - Advances in Semi- and Nonparametric Statistical Analysis
• Type: Contributed
• Date/Time: Wednesday, August 1, 2018 : 2:00 PM to 3:50 PM
• Sponsor: IMS
• Author(s): Kenichiro Tamaki*
• Companies: Waseda University
• Keywords: Empirical Likelihood; Jackknife; Spectral Density; Stationary Process

Abstract

In this talk, we propose a jackknife empirical likelihood for time series data in frequency domain(JFDEL). We apply the jackknife technique to the empirical likelihood in the frequency domain, which can reduce the computational difficulty in optimization, and we derive the asymptotic properties of the JFDEL estimator. Results of some simulation studies are also reported.