Spatial median depth-based robust adjusted empirical likelihood. (English) Zbl 1328.62222
Summary: Empirical likelihood (EL) based inference for parameters defined by general estimating equations of J. Qin and J. Lawless [Ann. Stat. 22, No. 1, 300–325 (1994; Zbl 0799.62049)] remains an active research topic. However, the performance of the EL method can be hindered by non-robustness and empty set problems. In this paper, we propose a robust adjusted empirical likelihood (RAEL) to address these two problems simultaneously. The resulting RAEL ratio statistic is shown to have inherited the asymptotic properties of both the robust empirical likelihood and the adjusted empirical likelihood. The finite-sample performance of the proposed method is illustrated by simulation and two real-data examples are also presented.
MSC:
62G05 | Nonparametric estimation |
62G10 | Nonparametric hypothesis testing |
62G20 | Asymptotic properties of nonparametric inference |
62G35 | Nonparametric robustness |
Keywords:
adjusted empirical likelihood; coverage probability; empty set problem; general estimating equation; robust empirical likelihood; spatial depthCitations:
Zbl 0799.62049References:
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