Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator

2008 ◽  
Vol 27 (4-6) ◽  
pp. 526-541 ◽  
Author(s):  
Patrik Guggenberger
Keyword(s):  
Empirical Likelihood ◽  
Heavy Tail ◽  
Finite Sample ◽  
Likelihood Estimator ◽  
Generalized Empirical Likelihood

scholarly journals Generalized empirical likelihood methods for analyzing longitudinal data

Biometrika ◽  
2010 ◽  
Vol 97 (1) ◽  
pp. 79-93 ◽  
Author(s):  
Suojin Wang ◽  
Lianfen Qian ◽  
Raymond J. Carroll
Keyword(s):  
Longitudinal Data ◽  
Empirical Likelihood ◽  
Simulation Study ◽  
Normal Approximation ◽  
Efficient Estimation ◽  
Likelihood Method ◽  
Finite Sample ◽  
Estimation Of Parameters ◽  
Generalized Empirical Likelihood ◽  
Study Results

Abstract Efficient estimation of parameters is a major objective in analyzing longitudinal data. We propose two generalized empirical likelihood-based methods that take into consideration within-subject correlations. A nonparametric version of the Wilks theorem for the limiting distributions of the empirical likelihood ratios is derived. It is shown that one of the proposed methods is locally efficient among a class of within-subject variance-covariance matrices. A simulation study is conducted to investigate the finite sample properties of the proposed methods and compares them with the block empirical likelihood method by You et al. (2006) and the normal approximation with a correctly estimated variance-covariance. The results suggest that the proposed methods are generally more efficient than existing methods that ignore the correlation structure, and are better in coverage compared to the normal approximation with correctly specified within-subject correlation. An application illustrating our methods and supporting the simulation study results is presented.

scholarly journals Mean Empirical Likelihood Inference for Response Mean with Data Missing at Random

2020 ◽  
Vol 2020 ◽  
pp. 1-12
Author(s):  
Hanji He ◽  
Guangming Deng
Keyword(s):  
Empirical Likelihood ◽  
Missing At Random ◽  
Confidence Regions ◽  
Likelihood Inference ◽  
High Dimensional ◽  
Finite Sample ◽  
The Mean ◽  
Data Missing ◽  
Consistency And Asymptotic Normality ◽  
The Impact

We extend the mean empirical likelihood inference for response mean with data missing at random. The empirical likelihood ratio confidence regions are poor when the response is missing at random, especially when the covariate is high-dimensional and the sample size is small. Hence, we develop three bias-corrected mean empirical likelihood approaches to obtain efficient inference for response mean. As to three bias-corrected estimating equations, we get a new set by producing a pairwise-mean dataset. The method can increase the size of the sample for estimation and reduce the impact of the dimensional curse. Consistency and asymptotic normality of the maximum mean empirical likelihood estimators are established. The finite sample performance of the proposed estimators is presented through simulation, and an application to the Boston Housing dataset is shown.

Generalized empirical likelihood non-nested tests

2002 ◽  
Vol 107 (1-2) ◽  
pp. 99-125 ◽  
Author(s):  
Joaquim J.S. Ramalho ◽  
Richard J. Smith
Keyword(s):  
Empirical Likelihood ◽  
Generalized Empirical Likelihood

EFFICIENT TWO-STEP GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION AND TESTS WITH MARTINGALE DIFFERENCES

2020 ◽  
pp. 1-40 ◽  
Author(s):  
Fei Jin ◽  
Lung-fei Lee
Keyword(s):  
Empirical Likelihood ◽  
Generalized Method Of Moments ◽  
Likelihood Estimation ◽  
Nuisance Parameters ◽  
Martingale Differences ◽  
Generalized Empirical Likelihood ◽  
Moment Functions ◽  
The Impact ◽  
Bias Terms ◽  
Parameters Of Interest

This paper considers two-step generalized empirical likelihood (GEL) estimation and tests with martingale differences when there is a computationally simple $\sqrt n-$ consistent estimator of nuisance parameters or the nuisance parameters can be eliminated with an estimating function of parameters of interest. As an initial estimate might have asymptotic impact on final estimates, we propose general C(α)-type transformed moments to eliminate the impact, and use them in the GEL framework to construct estimation and tests robust to initial estimates. This two-step approach can save computational burden as the numbers of moments and parameters are reduced. A properly constructed two-step GEL (TGEL) estimator of parameters of interest is asymptotically as efficient as the corresponding joint GEL estimator. TGEL removes several higher-order bias terms of a corresponding two-step generalized method of moments. Our moment functions at the true parameters are martingales, thus they cover some spatial and time series models. We investigate tests for parameter restrictions in the TGEL framework, which are locally as powerful as those in the joint GEL framework when the two-step estimator is efficient.

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