Point estimation with exponentially tilted empirical likelihood
نویسندگان
چکیده
منابع مشابه
Exponentially Tilted Empirical Likelihood
Newey and Smith (2001) have recently shown that Empirical Likelihood (EL) exhibits desirable higher-order asymptotic properties, namely, that its O ¡ n−1 ¢ bias is particularly small and that biascorrected EL is higher-order efficient. Although EL possesses these properties when the model is correctly specified, this paper shows that the asymptotic variance of EL in the presence of model misspe...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2007
ISSN: 0090-5364
DOI: 10.1214/009053606000001208