Empirical likelihood based modal regression

Weihua Zhao (), Riquan Zhang, Yukun Liu () and Jicai Liu

Statistical Papers, 2015, vol. 56, issue 2, 430 pages

Abstract: In this paper, we consider how to yield a robust empirical likelihood estimation for regression models. After introducing modal regression, we propose a novel empirical likelihood method based on modal regression estimation equations, which has the merits of both robustness and high inference efficiency compared with the least square based methods. Under some mild conditions, we show that Wilks’ theorem of the proposed empirical likelihood approach continues to hold. Advantages of empirical likelihood modal regression as a nonparametric approach are illustrated by constructing confidence intervals/regions. Two simulation studies and a real data analysis confirm our theoretical findings. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Empirical likelihood; Modal regression; Robust; Confidence region; Primary 62G10; Secondary 62G08 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00362-014-0588-4

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