All Title Author
Keywords Abstract

Statistics  2013 

Extended empirical likelihood for general estimating equations

Full-Text   Cite this paper   Add to My Lib

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.

Full-Text

comments powered by Disqus