A penalized empirical likelihood method in high dimensions

DOI10.1214/12-AOS1040zbMATH Open1373.62132arXiv1302.3071WikidataQ57836129 ScholiaQ57836129MaRDI QIDQ741795FDOQ741795

Authors: Soumendra N. Lahiri, Subhadeep Mukhopadhyay 

Publication date: 15 September 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper formulates a penalized empirical likelihood (PEL) method for inference on the population mean when the dimension of the observations may grow faster than the sample size. Asymptotic distributions of the PEL ratio statistic is derived under different component-wise dependence structures of the observations, namely, (i) non-Ergodic, (ii) long-range dependence and (iii) short-range dependence. It follows that the limit distribution of the proposed PEL ratio statistic can vary widely depending on the correlation structure, and it is typically different from the usual chi-squared limit of the empirical likelihood ratio statistic in the fixed and finite dimensional case. A unified subsampling based calibration is proposed, and its validity is established in all three cases, (i)-(iii). Finite sample properties of the method are investigated through a simulation study.

Full work available at URL: https://arxiv.org/abs/1302.3071

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zbMATH Keywords

regularizationasymptotic distributionlong-range dependencesubsamplingRosenblatt processsimultaneous testsWiener-Itô integral

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

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