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arXiv · 1306.1493

Extended empirical likelihood for general estimating equations

Min Tsao·Fan Wu
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Abstract

We derive an extended empirical likelihood for parameters defined by estimating equations which generalizes the original empirical likelihood for such parameters to the full parameter space. Under mild conditions, the extended empirical likelihood has all asymptotic properties of the original empirical likelihood. Its contours retain the data-driven shape of the latter. It can also attain the second order accuracy. The first order extended empirical likelihood is easy-to-use yet it is substantially more accurate than other empirical likelihoods, including second order ones. We recommend it for practical applications of the empirical likelihood method.

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Min Tsao, Fan Wu. 2013-06-06. Extended empirical likelihood for general estimating equations. https://arxiv.org/abs/1306.1493

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