Penalized empirical likelihood estimation of semiparametric models

研究成果: Article

9 引用 (Scopus)

抄録

We propose an empirical likelihood-based estimation method for conditional estimating equations containing unknown functions, which can be applied for various semiparametric models. The proposed method is based on the methods of conditional empirical likelihood and penalization. Thus, our estimator is called the penalized empirical likelihood (PEL) estimator. For the whole parameter including infinite-dimensional unknown functions, we derive the consistency and a convergence rate of the PEL estimator. Furthermore, for the finite-dimensional parametric component, we show the asymptotic normality and efficiency of the PEL estimator. We illustrate the theory by three examples. Simulation results show reasonable finite sample properties of our estimator.

元の言語English
ページ(範囲)1923-1954
ページ数32
ジャーナルJournal of Multivariate Analysis
98
発行部数10
DOI
出版物ステータスPublished - 2007 11 1
外部発表Yes

Fingerprint

Penalized Likelihood
Empirical Likelihood
Semiparametric Model
Estimator
Conditional Likelihood
Unknown
Asymptotic Efficiency
Penalization
Estimating Equation
Asymptotic Normality
Rate of Convergence
Semiparametric model
Empirical likelihood
Likelihood estimation
Simulation

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Numerical Analysis
  • Statistics and Probability

これを引用

Penalized empirical likelihood estimation of semiparametric models. / Otsu, Taisuke.

:: Journal of Multivariate Analysis, 巻 98, 番号 10, 01.11.2007, p. 1923-1954.

研究成果: Article

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