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arXiv · 0904.2949

Extending the scope of empirical likelihood

Nils Lid Hjort·Ian W. McKeague·Ingrid Van Keilegom
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Abstract

This article extends the scope of empirical likelihood methodology in three directions: to allow for plug-in estimates of nuisance parameters in estimating equations, slower than $\sqrt{n}$-rates of convergence, and settings in which there are a relatively large number of estimating equations compared to the sample size. Calibrating empirical likelihood confidence regions with plug-in is sometimes intractable due to the complexity of the asymptotics, so we introduce a bootstrap approximation that can be used in such situations. We provide a range of examples from survival analysis and nonparametric statistics to illustrate the main results.

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Nils Lid Hjort, Ian W. McKeague, Ingrid Van Keilegom. 2009-04-20. Extending the scope of empirical likelihood. https://doi.org/10.1214/07-aos555

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