Exponential tilted likelihood for stationary time series models

• Published in: Statistical theory and related fields Vol. 6; no. 3; pp. 254 - 263
• Main Authors: Zhang, Xiuzhen, Liu, Yukun, Zhang, Riquan, Lu, Zhiping
• Format: Journal Article
• Language: English
• Published: Taylor & Francis 26.08.2022; Taylor & Francis Group
• Subjects: adjusted exponential tilted likelihood; Exponential tilted likelihood; misspecified moment model; stationary time series

Depending on the asymptotical independence of periodograms, exponential tilted (ET) likelihood, as an effective nonparametric statistical method, is developed to deal with time series in this paper. Similar to empirical likelihood (EL), it still suffers from two drawbacks: the non-definition problem...