The efficiency of empirical likelihood with nuisance parameters

Wang, Xing

doi:10.3844/jmssp.2014.125.129

The efficiency of empirical likelihood with nuisance parameters

Wang, Xing

Authors

Dr Xing Wang xing.wang@durham.ac.uk
Assistant Professor

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

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Copyright Statement
© 2014 Xing Wang. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.