Abstract
The paper deals with some nonparametric methods for the construction of confidence sets; the empirical likelihood, the empirical saddlepoint and the nonparametric tilting. After introducing the basic principles of each method, some refined or alternative versions are considered. The paper gives an account of different aspects, advantages and drawbacks of these methods. Furthermore, examples show their applications and provide computational details. Finally, comparisons are carried out and analogous approaches and analytical links are remarked.
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