A penalized empirical likelihood method in high dimensions
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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.
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- Asymptotic expansions in the central limit theorem under moment conditions
- Bounds on coverage probabilities of the empirical likelihood ratio confidence regions.
- Calibration of the empirical likelihood method for a vector mean
- Covariance regularization by thresholding
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Effects of data dimension on empirical likelihood
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- Empirical likelihood and general estimating equations
- Empirical likelihood in some semiparametric models
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- Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Measure Theory and Probability Theory
- Non-central limit theorems for non-linear functional of Gaussian fields
- Nonconcave penalized likelihood with a diverging number of parameters.
- On blocking rules for the bootstrap with dependent data
- Operator norm consistent estimation of large-dimensional sparse covariance matrices
- Optimal rates of convergence for covariance matrix estimation
- Penalized empirical likelihood estimation of semiparametric models
- Penalized high-dimensional empirical likelihood
- Resampling methods for dependent data
- Smoothed empirical likelihood confidence intervals for quantiles
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Weak convergence and empirical processes. With applications to statistics
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- A review of recent advances in empirical likelihood
- Large sample properties of the SCAD-penalized maximum likelihood estimation on high dimen\-sions
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