Adjusted empirical likelihood with high-order precision

DOI10.1214/09-AOS750zbMATH Open1189.62054arXiv1010.0313MaRDI QIDQ973869FDOQ973869

Jiahua Chen, Yukun Liu

Publication date: 26 May 2010

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

Abstract: Empirical likelihood is a popular nonparametric or semi-parametric statistical method with many nice statistical properties. Yet when the sample size is small, or the dimension of the accompanying estimating function is high, the application of the empirical likelihood method can be hindered by low precision of the chi-square approximation and by nonexistence of solutions to the estimating equations. In this paper, we show that the adjusted empirical likelihood is effective at addressing both problems. With a specific level of adjustment, the adjusted empirical likelihood achieves the high-order precision of the Bartlett correction, in addition to the advantage of a guaranteed solution to the estimating equations. Simulation results indicate that the confidence regions constructed by the adjusted empirical likelihood have coverage probabilities comparable to or substantially more accurate than the original empirical likelihood enhanced by the Bartlett correction.

Full work available at URL: https://arxiv.org/abs/1010.0313

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zbMATH Keywords

tablesBartlett correctionEdgeworth expansionestimating functionconfidence regiongeneralized moment method

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15)

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Cited In (57)

• Variational Bayes for Fast and Accurate Empirical Likelihood Inference
• Adjusted empirical likelihood for probability density functions under strong mixing samples
• Jackknife empirical likelihood for the lower-mean ratio
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• Inference of high quantiles of a heavy-tailed distribution from block data
• Zero finite-order serial correlation test in a partially linear single-index model
• Nonparametric interval estimation for the mean of a zero-inflated population
• Jackknife empirical likelihood for the mean difference of two zero-inflated skewed populations
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• Empirical likelihood for outlier detection and estimation in autoregressive time series
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• Resampling calibrated adjusted empirical likelihood

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