Two-sample extended empirical likelihood for estimating equations

DOI10.1016/J.JMVA.2015.07.009MaRDI QIDQ893162zbMATH OpenOpenAlexFDO

Authors Min Tsao, Fan Wu

Publication date 13 November 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.7206

zbMATH Keywords

estimating equationBartlett correctionsimilarity transformationcomposite similarity transformationextended empirical likelihoodtwo-sample empirical likelihood

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20)

Abstract: We propose a two-sample extended empirical likelihood for inference on the difference between two p-dimensional parameters defined by estimating equations. The standard two-sample empirical likelihood for the difference is Bartlett correctable but its domain is a bounded subset of the parameter space. We expand its domain through a composite similarity transformation to derive the two-sample extended empirical likelihood which is defined on the full parameter space. The extended empirical likelihood has the same asymptotic distribution as the standard one and can also achieve the second order accuracy of the Bartlett correction. We include two applications to illustrate the use of two-sample empirical likelihood methods and to demonstrate the superior coverage accuracy of the extended empirical likelihood confidence regions.

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Cites work

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Cited in

(10)

• Robust inference for the two-sample 2SLS estimator
• Composite empirical likelihood for multisample clustered data
• Extended empirical likelihood for estimating equations
• Extending the empirical likelihood by domain expansion
• Empirical likelihood-based inference for the difference of two location parameters using smoothed M-estimators
• Two-sample high-dimensional empirical likelihood
• Empirical likelihood inference for two-sample problems
• Empirical likelihood on the full parameter space
• Two-sample extended empirical likelihood
• A review of recent advances in empirical likelihood

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