High-dimensional empirical likelihood inference
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Abstract: High-dimensional statistical inference with general estimating equations are challenging and remain less explored. In this paper, we study two problems in the area: confidence set estimation for multiple components of the model parameters, and model specifications test. For the first one, we propose to construct a new set of estimating equations such that the impact from estimating the high-dimensional nuisance parameters becomes asymptotically negligible. The new construction enables us to estimate a valid confidence region by empirical likelihood ratio. For the second one, we propose a test statistic as the maximum of the marginal empirical likelihood ratios to quantify data evidence against the model specification. Our theory establishes the validity of the proposed empirical likelihood approaches, accommodating over-identification and exponentially growing data dimensionality. The numerical studies demonstrate promising performance and potential practical benefits of the new methods.
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- On High-Dimensional Constrained Maximum Likelihood Inference
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- Penalized Jackknife Empirical Likelihood in High Dimensions
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- Culling the Herd of Moments with Penalized Empirical Likelihood
- Empirical likelihood ratio tests for non-nested model selection based on predictive losses
- Simultaneous selection and incorporation of consistent external aggregate information
- A review of recent advances in empirical likelihood
- Inference in High-Dimensional Multivariate Response Regression with Hidden Variables
- A likelihood ratio framework for high-dimensional semiparametric regression
- Bayesian penalized empirical likelihood and Markov chain Monte Carlo sampling
- Linear hypothesis testing for high dimensional Tobit models
- A Heteroscedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates
- Distributed empirical likelihood inference with or without Byzantine failures
- Joint restricted empirical likelihood and its applications for high-dimensional datasets
- A novel approach of empirical likelihood with massive data
- Penalized empirical likelihood over decentralized networks
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