Simultaneous estimation based on empirical likelihood and general maximum likelihood estimation

Junyong Park

Computational Statistics & Data Analysis, 2018, vol. 117, issue C, 19-31

Abstract: One typical problem in simultaneous estimation of mean values is estimating means of normal distributions, however when normality or any other distribution is not specified, more robust estimation procedures are demanded. A new estimation procedure is proposed based on empirical likelihood which does not request any specific distributional assumption. The new idea is based on incorporating empirical likelihood with general maximum likelihood estimation. One well-known nonparametric estimator, the linear empirical Bayes estimator, can be interpreted as an estimator based on empirical likelihood under some framework and it is shown that the proposed procedure can improve the linear empirical Bayes estimator. Numerical studies are presented to compare the proposed estimator with some existing estimators. The proposed estimator is applied to the problem of estimating mean values corresponding to high valued observations. Simulations and real data example of gene expression are provided.

Keywords: Empirical likelihood; General maximum likelihood; Estimation of mean vector (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:117:y:2018:i:c:p:19-31

DOI: 10.1016/j.csda.2017.08.003

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