An Empirical Likelihood-based Local Estimation
Statistics Theory
2014-03-27 v1 Statistics Theory
Abstract
This paper proposes a local representation for Empirical Likelihood (EL). EL admits the classical local linear quadratic representation by its likelihood ratio property. A local estimator is derived by using the new representation. Consistency, local asymptotic normality, and asymptotic optimality results hold for the new estimator. In particular, when the regularity conditions do not include any differentiability assumption, these asymptotic results are still valid for the local estimator. Simulations illustrate that the local method improves the inference accuracy of EL.
Cite
@article{arxiv.1403.6782,
title = {An Empirical Likelihood-based Local Estimation},
author = {Zhengyuan Gao},
journal= {arXiv preprint arXiv:1403.6782},
year = {2014}
}