Jiajing Sun

Jiajing Sun

PhD, CFA charterholder, FIMA. Associate Professor and the Deputy Director of the Department of Statistics and Data Science, School of Economics and Management, University of the Chinese Academy of Sciences.

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

Published in Economics Letters, 2022

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.

Publisher / DOI page

Recommended citation: Sun, J., Hong, Y., Linton, O., & Zhao, X. (2022). "Adjusted-range self-normalized confidence interval construction for censored dependent data." Economics Letters, 110873.
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