Empirical likelihood for random sets

Karun Adusumilli and Taisuke Otsu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We extend the method of empirical likelihood to cover hypotheses involving the Aumann expectation of random sets. By exploiting the properties of random sets, we convert the testing problem into one involving a continuum of moment restrictions for which we propose two inferential procedures. The first, which we term marked empirical likelihood, corresponds to constructing a non-parametric likelihood for each moment restriction and assessing the resulting process. The second, termed sieve empirical likelihood, corresponds to constructing a likelihood for a vector of moments with growing dimension. We derive the asymptotic distributions under the null and sequence of local alternatives for both types of tests and prove their consistency. The applicability of these inferential procedures is demonstrated in the context of two examples on the mean of interval observations and best linear predictors for interval outcomes.

JEL-codes: N0 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2014-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://eprints.lse.ac.uk/58064/ Open access version. (application/pdf)

Related works:
Journal Article: Empirical Likelihood for Random Sets (2017)
Working Paper: Empirical likelihood for random sets (2017)
Working Paper: Empirical Likelihood for Random Sets (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:58064

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().