An Empirical Likelihood-based Local Estimation

Zhengyuan Gao

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arXiv · 1403.6782

An Empirical Likelihood-based Local Estimation

Zhengyuan Gao

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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.

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Zhengyuan Gao. 2014-03-26. An Empirical Likelihood-based Local Estimation. https://arxiv.org/abs/1403.6782

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