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A modification of profile empirical likelihood for the exponential-tilt model

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  • Inagaki, Kazuhisa
  • Komaki, Fumiyasu

Abstract

We consider semiparametric models whose infinite-dimensional parameter corresponds to a probability distribution. The NPMLE based on the profile empirical likelihood for this kind of semiparametric model has attracted considerable interest. We propose the use of a modified profile empirical likelihood to improve the accuracy of this estimation. We consider applications to the exponential-tilt model and show that the accuracy of the proposed estimator is better than that of the conventional NPMLE by numerical study.

Suggested Citation

  • Inagaki, Kazuhisa & Komaki, Fumiyasu, 2010. "A modification of profile empirical likelihood for the exponential-tilt model," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 997-1004, June.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:11-12:p:997-1004
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    References listed on IDEAS

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    1. Jing Qin & Biao Zhang, 2005. "Marginal likelihood, conditional likelihood and empirical likelihood: Connections and applications," Biometrika, Biometrika Trust, vol. 92(2), pages 251-270, June.
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    Cited by:

    1. Yufan Wang & Xingzhong Xu, 2023. "A Posterior p -Value for Homogeneity Testing of the Three-Sample Problem," Mathematics, MDPI, vol. 11(18), pages 1-25, September.

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