The efficiency of empirical likelihood with nuisance parameters

Wang, Xing

Abstract

In this study we check the asymptotic efficiency of empirical likelihood in the presence of nuisance parameters combined with augmented moment conditions. We show that in the presence of nuisance parameters, the asymptotic efficiency of the empirical likelihood estimator of the parameter of interest will increase by adding more moment conditions, in the sense of the positive semidefiniteness of the difference of information matrices. As a by product, we point out a necessary condition for the asymptotic efficiency to be increased when more moment condition are added.

Citation

Wang, X. (2014). The efficiency of empirical likelihood with nuisance parameters. Journal of mathematics and statistics, 10(2), 125-129. https://doi.org/10.3844/jmssp.2014.125.129

• Journal Article Type: Article
• Acceptance Date: Feb 17, 2014
• Online Publication Date: Feb 2, 2014
• Publication Date: Feb 17, 2014
• Deposit Date: Sep 16, 2016
• Publicly Available Date: Sep 16, 2016
• Journal: Journal of Mathematics and Statistics
• Print ISSN: 1549-3644
• Electronic ISSN: 1558-6359
• Publisher: Science Publications
• Peer Reviewed: Peer Reviewed
• Volume: 10
• Issue: 2
• Pages: 125-129
• DOI: https://doi.org/10.3844/jmssp.2014.125.129
• Public URL: https://durham-repository.worktribe.com/output/1374865