Jackknife–blockwise empirical likelihood methods under dependence

Empirical likelihood for general estimating equations is a method for testing hypothesis or constructing confidence regions on parameters of interest. If the number of parameters of interest is smaller than that of estimating equations, a profile empirical likelihood has to be employed. In case of dependent data, a profile blockwise empirical likelihood method can be used. However, if too many nuisance parameters are involved, a computational difficulty in optimizing the profile empirical likelihood arises. Recently, Li et al. (2011) [9] proposed a jackknife empirical likelihood method to reduce the computation in the profile empirical likelihood methods for independent data. In this paper, we propose a jackknife–blockwise empirical likelihood method to overcome the computational burden in the profile blockwise empirical likelihood method for weakly dependent data.

► We propose a jackknife–blockwise empirical likelihood method for dependent data. ► The new method reduces the computation of profile empirical likelihood method. ► Simulation shows that the new method performs well.