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Date tilting for time series

Hall, Peter and Yao, Qiwei (2003) Date tilting for time series. Journal of the Royal Statistical Society. Series B, 65 (2). pp. 425-442. ISSN 1467-9868

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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’.

Item Type: Article
Official URL: http://www.blackwell-synergy.com/loi/rssb
Additional Information: ® 2003 Blackwell Publishing
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Collections > Economists Online
Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 23 Jun 2008 08:51
URL: http://eprints.lse.ac.uk/5888/

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