Reduce computation in profile empirical likelihood method

Li, Minqiang and Peng, Liang and Qi, Yongcheng (2011): Reduce computation in profile empirical likelihood method.

Abstract

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 [35]. 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
• Language: English
• 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

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