Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series

By Jean-Marie Dufour, Abdeljelil Farhat, Marc Hallin. 2005

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Accompanying document to "Point Estimation with Exponentially Tilted Empirical Likelihood" (2005, methodology): “grows and it is possible to entirely avoid negative weights via the use of a “shrinkage factor” correction (see [ 6 ]) that vanishes asymptotically and that has no effect on the limiting distribution.”
Nobel Lecture: Uncertainty Outside and Inside Economic Models (2014, methodology): “…GMM approach have been suggested on the basis of an empirical likelihood approach following Qin and Lawless ð1994Þ and Owen ð2001Þ ðv5 21Þ, a relative-entropy approach of Kitamura and Stutzer ð1997Þ ðv5 0Þ, a quadratic discrepancy approach of Antoine et al. ð2007Þ ðv5 1Þ, and other related methods.”