Extended empirical likelihood for estimating equations

DOI10.1093/BIOMET/ASU014MaRDI QIDQ3191474zbMATH OpenOpenAlexFDO

Authors Min Tsao, Fan Wu

Publication date 2 October 2014

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.1493, https://semanticscholar.org/paper/2f724fe62ae985274af4d3feacaaf8b341d429bc

zbMATH Keywords

Bartlett correctioncomposite similarity mappingempirical likelihoodestimating equationextended empirical likelihood

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Abstract: We derive an extended empirical likelihood for parameters defined by estimating equations which generalizes the original empirical likelihood for such parameters to the full parameter space. Under mild conditions, the extended empirical likelihood has all asymptotic properties of the original empirical likelihood. Its contours retain the data-driven shape of the latter. It can also attain the second order accuracy. The first order extended empirical likelihood is easy-to-use yet it is substantially more accurate than other empirical likelihoods, including second order ones. We recommend it for practical applications of the empirical likelihood method.

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