Adjusted-range self-normalized confidence interval construction for censored dependent data

Jiajing Sun; Yongmiao Hong; Oliver Linton; Xiaolu Zhao

doi:10.1016/j.econlet.2022.110873

Adjusted-range self-normalized confidence interval construction for censored dependent data

Jiajing Sun, Yongmiao Hong, Oliver Linton, Xiaolu Zhao^*

^*Corresponding author for this work

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

This paper proposes an adjusted-range based self-normalization (SN) method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach.

Original language	English
Article number	110873
Number of pages	5
Journal	Economics Letters
Volume	220
Early online date	28 Sept 2022
DOIs	https://doi.org/10.1016/j.econlet.2022.110873
Publication status	Published - Nov 2022

Keywords

Adjusted-range
Censored dependent data
Empirical likelihood
Self-normalization
Survival analysis

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title = "Adjusted-range self-normalized confidence interval construction for censored dependent data",

abstract = "This paper proposes an adjusted-range based self-normalization (SN) method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach.",

keywords = "Adjusted-range, Censored dependent data, Empirical likelihood, Self-normalization, Survival analysis",

author = "Jiajing Sun and Yongmiao Hong and Oliver Linton and Xiaolu Zhao",

year = "2022",

month = nov,

doi = "10.1016/j.econlet.2022.110873",

language = "English",

volume = "220",

journal = "Economics Letters",

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T1 - Adjusted-range self-normalized confidence interval construction for censored dependent data

AU - Sun, Jiajing

AU - Hong, Yongmiao

AU - Linton, Oliver

AU - Zhao, Xiaolu

PY - 2022/11

Y1 - 2022/11

N2 - This paper proposes an adjusted-range based self-normalization (SN) method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach.

AB - This paper proposes an adjusted-range based self-normalization (SN) method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach.

KW - Adjusted-range

KW - Censored dependent data

KW - Empirical likelihood

KW - Self-normalization

KW - Survival analysis

U2 - 10.1016/j.econlet.2022.110873

DO - 10.1016/j.econlet.2022.110873

M3 - Article

SN - 0165-1765

VL - 220

JO - Economics Letters

JF - Economics Letters

M1 - 110873

ER -

Adjusted-range self-normalized confidence interval construction for censored dependent data

Abstract

Keywords

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