Li, Minqiang and Peng, Liang and Qi, Yongcheng (2011): Reduce computation in profile empirical likelihood method.
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Since its introduction by Owen in [29, 30], the empirical likelihood method has been extensively investigated and widely used to construct confidence regions and to test hypotheses in the literature. For a large class of statistics that can be obtained via solving estimating equations, the empirical likelihood function can be formulated from these estimating equations as proposed by . If only a small part of parameters is of interest, a profile empirical likelihood method has to be employed to construct confidence regions, which could be computationally costly. In this paper we propose a jackknife empirical likelihood method to overcome this computational burden. This proposed method is easy to implement and works well in practice.
|Item Type:||MPRA Paper|
|Original Title:||Reduce computation in profile empirical likelihood method|
|English Title:||Reduce computation in profile empirical likelihood method|
|Keywords:||profile empirical likelihood; estimating equation; Jackknife|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C0 - General > C00 - General
|Depositing User:||Minqiang Li|
|Date Deposited:||27. Sep 2011 13:05|
|Last Modified:||15. Feb 2013 05:58|
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