Open Access
June 2009 Extending the scope of empirical likelihood
Nils Lid Hjort, Ian W. McKeague, Ingrid Van Keilegom
Ann. Statist. 37(3): 1079-1111 (June 2009). DOI: 10.1214/07-AOS555


This article extends the scope of empirical likelihood methodology in three directions: to allow for plug-in estimates of nuisance parameters in estimating equations, slower than $\sqrt{n}$-rates of convergence, and settings in which there are a relatively large number of estimating equations compared to the sample size. Calibrating empirical likelihood confidence regions with plug-in is sometimes intractable due to the complexity of the asymptotics, so we introduce a bootstrap approximation that can be used in such situations. We provide a range of examples from survival analysis and nonparametric statistics to illustrate the main results.


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Nils Lid Hjort. Ian W. McKeague. Ingrid Van Keilegom. "Extending the scope of empirical likelihood." Ann. Statist. 37 (3) 1079 - 1111, June 2009.


Published: June 2009
First available in Project Euclid: 10 April 2009

zbMATH: 1160.62029
MathSciNet: MR2509068
Digital Object Identifier: 10.1214/07-AOS555

Primary: 62F40 , 62G20

Keywords: Bootstrap calibration , Current status data , Empirical processes , estimating equations , growing number of parameters , Nonparametric regression , nuisance parameters , orthogonal series , plug-in

Rights: Copyright © 2009 Institute of Mathematical Statistics

Vol.37 • No. 3 • June 2009
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