Empirical likelihood for conditional quantile with left-truncated and dependent data

2011 ◽  
Vol 64 (4) ◽  
pp. 765-790 ◽  
Author(s):  
Han-Ying Liang ◽  
Jacobo de Uña-Álvarez
Keyword(s):  
Empirical Likelihood ◽  
Dependent Data ◽  
Conditional Quantile

EMPIRICAL LIKELIHOOD CONFIDENCE INTERVALS FOR DEPENDENT DURATION DATA

2010 ◽  
Vol 27 (1) ◽  
pp. 178-198 ◽  
Author(s):  
Anouar El Ghouch ◽  
Ingrid Van Keilegom ◽  
Ian W. McKeague
Keyword(s):  
Asymptotic Normality ◽  
Confidence Intervals ◽  
Empirical Likelihood ◽  
Simulation Study ◽  
General Class ◽  
Block Size ◽  
Original Data ◽  
Dependent Data ◽  
Asymptotic Results ◽  
Survival Distribution

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.

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