Depth-based weighted jackknife empirical likelihood for non-smooth U-structure equations. WJEL for U-structure equations

DOI10.1007/S11749-019-00667-1MaRDI QIDQ2195752zbMATH OpenOpenAlexFDO

Authors Yongli Sang, Xin Dang, Yichuan Zhao

Publication date 27 August 2020

Published in Test (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.06742

zbMATH Keywords

robustnessdepth function\(U\)-statistic structure equationsweighted jackknife empirical likelihood (WJEL)

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Multivariate distribution of statistics (62H10) Applications of statistics to environmental and related topics (62P12) Order statistics; empirical distribution functions (62G30)

Abstract: In many applications, parameters of interest are estimated by solving some non-smooth estimating equations with $U$-statistic structure. Jackknife empirical likelihood (JEL) approach can solve this problem efficiently by reducing the computation complexity of the empirical likelihood (EL) method. However, as EL, JEL suffers the sensitivity problem to outliers. In this paper, we propose a weighted jackknife empirical likelihood (WJEL) to tackle the above limitation of JEL. The proposed WJEL tilts the JEL function by assigning smaller weights to outliers. The asymptotic of the WJEL ratio statistic is derived. It converges in distribution to a multiple of a chi-square random variable. The multiplying constant depends on the weighting scheme. The self-normalized version of WJEL ratio does not require to know the constant and hence yields the standard chi-square distribution in the limit. Robustness of the proposed method is illustrated by simulation studies and one real data application.

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Cited in

(3)

• Jackknife empirical likelihood for growing dimensional nonsmooth estimating equations
• Jackknife empirical likelihood confidence intervals for the categorical Gini correlation
• A review of recent advances in empirical likelihood

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