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Empirical likelihood confidence intervals for dependent duration data

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El Ghouch, Anouar [UCL] Van Keilegom, Ingrid [UCL] McKeague, Ian W. [Columbia University]

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.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès libre
Publication date 2011
Language Anglais
Journal information "Econometric Theory" - Vol. 27, no.1, p. 178-198 (February 2011)
Peer reviewed yes
Publisher Cambridge University Press ((United Kingdom) Cambridge)
issn 0266-4666
e-issn 1469-4360
Publication status Publié
Affiliation UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
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Bibliographic reference El Ghouch, Anouar ; Van Keilegom, Ingrid ; McKeague, Ian W.. Empirical likelihood confidence intervals for dependent duration data. In: Econometric Theory, Vol. 27, no.1, p. 178-198 (February 2011)
Permanent URL http://hdl.handle.net/2078.1/113948