Emirical Likelihood in Some Semiparametric Models

Patrice Bertail
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Patrice Bertail: Crest

No 2003-12, Working Papers from Center for Research in Economics and Statistics

Abstract: This paper studies the properties of empirical likelihood for Hadamard differentiable functionalstangentially to a well chosen set and gives some extensions in more general semiparametricmodels. We give a straightforward proof of its asymptotic validity and Bartlettcorrectability, essentially based on two ingredients convex duality and LAN properties ofthe empirical likelihood ratio in its dual form. Extensions to semiparametric problems withestimated infinite dimensional parameters are also considered. We give some applicationsto confidence intervals for the position parameter of a symmetric model and general functionalsin biased sampling models.

Date: 2003
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