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EMPIRICAL LIKELIHOOD CONFIDENCE INTERVALS FOR DEPENDENT DURATION DATA

Published online by Cambridge University Press:  30 April 2010

Anouar El Ghouch ,
Ingrid Van Keilegom  and
Ian W. McKeague
Anouar El Ghouch
Affiliation:
Université catholique de Louvain
Ingrid Van Keilegom*
Affiliation:
Université catholique de Louvain
Ian W. McKeague
Affiliation:
Columbia University
*
*Address correspondence to Ingrid Van Keilegom, Institute of Statistics, Université catholique de Louvain, Voie du Roman Pays 20, 1348 Louvain-la-Neuve, Belgium; e-mail: [email protected].
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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.

Type
ARTICLES
Information
Econometric Theory , Volume 27 , Issue 1: SPECIAL ISSUE ON EMPIRICAL LIKELIHOOD AND RELATED METHODS , February 2011 , pp. 178 - 198
Copyright
Copyright © Cambridge University Press 2010

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