Empirical Likelihood Research Articles

Empirical likelihood ratio tests for non-nested model selection based on predictive losses

Empirical likelihood ratio tests for non-nested model selection based on predictive losses

Penalized empirical likelihood for longitudinal expectile regression with growing dimensional data

Penalized empirical likelihood for longitudinal expectile regression with growing dimensional data

Estimating the size of a closed population by modeling latent and observed heterogeneity.

The paper extends the empirical likelihood (EL) approach of Liu etal. to a new and very flexible family of latent class models for capture-recapture data also allowing for serial dependence on previous capture history, conditionally on latent type and covariates. The EL approach allows to estimate the overall population size directly rather than by adding estimates conditional to covariate configurations. A Fisher-scoring algorithm for maximum likelihood estimation is proposed and a more efficient alternative to the traditional EL approach for estimating the non-parametric component is introduced; this allows us to show that the mapping between the non-parametric distribution of the covariates and the probabilities of being never captured is one-to-one and strictly increasing. Asymptotic results are outlined, and a procedure for constructing profile likelihood confidence intervals for the population size is presented. Two examples based on real data are used to illustrate the proposed approach and a simulation study indicates that, when estimating the overall undercount, the method proposed here is substantially more efficient than the one based on conditional maximum likelihood estimation, especially when the sample size is not sufficiently large.

Interval estimation in three-class receiver operating characteristic analysis: A fairly general approach based on the empirical likelihood.

The empirical likelihood is a powerful nonparametric tool, that emulates its parametric counterpart-the parametric likelihood-preserving many of its large-sample properties. This article tackles the problem of assessing the discriminatory power of three-class diagnostic tests from an empirical likelihood perspective. In particular, we concentrate on interval estimation in a three-class receiver operating characteristic analysis, where a variety of inferential tasks could be of interest. We present novel theoretical results and tailored techniques studied to efficiently solve some of such tasks. Extensive simulation experiments are provided in a supporting role, with our novel proposals compared to existing competitors, when possible. It emerges that our new proposals are extremely flexible, being able to compete with contestants and appearing suited to accommodating several distributions, such, for example, mixtures, for target populations. We illustrate the application of the novel proposals with a real data example. The article ends with a discussion and a presentation of some directions for future research.

Tests for homogeneity of distributions of component lifetimes from Type‐II censored system lifetime data with known system structures

AbstractIn system reliability analysis, researchers are interested in evaluating the characteristics of the lifetime distribution of components in a system based on system lifetime data. In collecting system lifetime data, a censoring scheme is often adopted due to time and budget constraints. In this article, we consider the situation where the system lifetime data from two different coherent systems are subjected to Type‐II right‐censoring, and we are interested in testing the homogeneity of component lifetime distributions based on Type‐II censored system lifetime data with known system structures. Based on the Mann‐Whitney test and empirical likelihood ratio tests developed for testing the homogeneity of component lifetime distributions with complete system lifetime data, we propose different non‐parametric test procedures using the permutation of the unobserved censored system lifetimes. We consider a restricted assumption on the censored lifetimes to reduce the permutations required in the computation. The computational approaches to obtain the critical values of the proposed test procedures are provided using the Monte Carlo method. A practical example is used to illustrate the proposed test procedures. Then, the power performance of the proposed test procedures is evaluated and compared through a Monte Carlo simulation study. The simulation results show that the proposed test procedures provide comparable power performance for Type‐II censored system lifetime data in contrast to the complete sample case under different scenarios. Finally, recommendations based on the simulation results and concluding remarks are provided.

Constrained Reweighting of Distributions: An Optimal Transport Approach.

We commonly encounter the problem of identifying an optimally weight-adjusted version of the empirical distribution of observed data, adhering to predefined constraints on the weights. Such constraints often manifest as restrictions on the moments, tail behavior, shapes, number of modes, etc., of the resulting weight-adjusted empirical distribution. In this article, we substantially enhance the flexibility of such a methodology by introducing a nonparametrically imbued distributional constraint on the weights and developing a general framework leveraging the maximum entropy principle and tools from optimal transport. The key idea is to ensure that the maximum entropy weight-adjusted empirical distribution of the observed data is close to a pre-specified probability distribution in terms of the optimal transport metric, while allowing for subtle departures. The proposed scheme for the re-weighting of observations subject to constraints is reminiscent of the empirical likelihood and related ideas, but offers greater flexibility in applications where parametric distribution-guided constraints arise naturally. The versatility of the proposed framework is demonstrated in the context of three disparate applications where data re-weighting is warranted to satisfy side constraints on the optimization problem at the heart of the statistical task-namely, portfolio allocation, semi-parametric inference for complex surveys, and ensuring algorithmic fairness in machine learning algorithms.

Bayesian empirical likelihood inference for the mean absolute deviation

The mean absolute deviation (MAD) is a direct measure of the dispersion of a random variable about its mean. In this paper, the empirical likelihood (EL) and the adjusted EL methods for the MAD are proposed. The Bayesian empirical likelihood, the Bayesian adjusted empirical likelihood, the Bayesian jackknife empirical likelihood and the Bayesian adjusted jackknife empirical likelihood methods are used to construct credible intervals for the MAD. Simulation results show that the proposed EL method performs better than the JEL in Zhao et al. [Jackknife empirical likelihood inference for the mean absolute deviation. Comput Stat Data Anal. 2015;91:92–101], and the proper prior information improves coverage rates of confidence/credible intervals. Two real datasets are used to illustrate the new procedures.

Bayesian estimation in generalized linear models for longitudinal data with hyperspherical coordinates

Under the framework of generalized linear models (GLM), the generalized estimating equation (GEE) method is typically applied for longitudinal data analysis. However, there are a series of problems due to the misspecification of the within-subject correlation structure, especially in Bayesian estimation. To handle these difficulties, in this paper, we construct a class of generalized estimating equations for longitudinal data with hyperspherical coordinates (HPC) and propose a Bayesian approach established through empirical likelihood (EL). Additionally, an efficient Markov chain Monte Carlo (MCMC) procedure is developed for the required computation of the posterior distribution. As proved by the simulation studies and an application to a real longitudinal data set, our method not only performs better than traditional empirical likelihood estimation and Bayesian estimation with partial autocorrelations (PAC) but also is suitable for non-Gaussian data.

Empirical likelihood for spatial cross-sectional data models with matrix exponential spatial specification

Empirical likelihood for spatial cross-sectional data models with matrix exponential spatial specification

Stochastic Arbitrage Opportunities: Set Estimation and Statistical Testing

We provide a formal statistical theory of consistent estimation of the set of all arbitrage portfolios that meet the description of being a stochastic arbitrage opportunity. Two empirical likelihood ratio tests are developed: one for the null that a given arbitrage portfolio is qualified, and another for the alternative that the portfolio is not qualified. Apart from considering generalized concepts and hypotheses based on multiple host portfolios, the statistical assumption framework is also more general than in earlier studies that focused on special cases with a single benchmark portfolio. Various extensions and generalizations of the theory are discussed. A Monte Carlo simulation study shows promising statistical size and power properties for testing the null, for representative data dimensions. The results of an empirical application illustrate the importance of selecting a proper blocking structure and moment estimation method.

Two-step semiparametric empirical likelihood inference from capture–recapture data with missing covariates

Two-step semiparametric empirical likelihood inference from capture–recapture data with missing covariates

Confidence intervals for heterogeneity in meta-analysis of the rare binary events based on empirical likelihood-type methods

In meta-analysis, heterogeneity between independent studies is one of the important reference indicators for comprehensive analyses. It is usually described in terms of the variance between groups of the random-effect model. The existing methods are used to construct their confidence intervals based on the assumption of the normal distribution, but in reality, this assumption is often violated, especially in rare binary events. Recently, the method of the jackknife empirical likelihood was proposed to build confidence intervals; however, it tends to perform not as good as the parametric methods when the number of studies involved is small. Therefore, we propose to use the adjusted jackknife empirical likelihood, transformed jackknife empirical likelihood, and transformed adjusted jackknife empirical likelihood to construct confidence intervals for heterogeneity of the rare binary event. We investigate the performance of the proposed methods through the simulations based on different distributions, especially for skewed distributions and the small sample sizes. Applications to real data with the proposed methods are also provided.

Comparison of estimation and prediction methods for a zero-inflated geometric INAR(1) process with random coefficients

This study explores zero-inflated count time series models used to analyze data sets with characteristics such as overdispersion, excess zeros, and autocorrelation. Specifically, we investigate the ZIGINAR RC ( 1 ) process, a first-order stationary integer-valued autoregressive model with random coefficients and a zero-inflated geometric marginal distribution. Our focus is on examining various estimation and prediction techniques for this model. We employ estimation methods, including Whittle, Taper Spectral Whittle, Maximum Empirical Likelihood, and Sieve Bootstrap estimators for parameter estimation. Additionally, we propose forecasting approaches, such as median, Bayesian, and Sieve Bootstrap methods, to predict future values of the series. We assess the performance of these methods through simulation studies and real-world data analysis, finding that all methods perform well, providing 95% highest predicted probability intervals that encompass the observed data. While Bayesian and Bootstrap methods require more time for execution, their superior predictive accuracy justifies their use in forecasting.

Empirical likelihood based confidence regions for functional of copulas

In the present paper, we are mainly concerned with the statistical inference for the functional of nonparametric copula models satisfying linear constraints. The asymptotic properties of the obtained estimates and test statistics are given. Finally, a general notion of bootstrap for the proposed estimates and test statistics, constructed by exchangeably weighting sample, is presented, which is of its own interest. These results are proved under some standard structural conditions on some classes of functions and some mild conditions on the model, without assuming anything about the marginal distribution functions, except continuity. Our theoretical results and numerical examples by simulations demonstrate the merits of the proposed techniques.

Nonparametric Shiryaev-Roberts change-point detection procedures based on modified empirical likelihood

Sequential change-point analysis, which identifies a change of probability distribution in an infinite sequence of random observations, has important applications in many fields. A good method should detect a change point as soon as possible, and keep a low amount of false alarms. As one of the most popular methods, Shiryaev-Roberts (SR) procedure holds many optimalities. However, its implementation requires the pre-change and post-change distributions to be known, which is not achievable in practice. In this paper, we construct a nonparametric version of the SR procedure by embedding different versions of empirical likelihood, assuming two training samples, before and after change, are available for parameter estimations. Simulations are conducted to compare the performance of the proposed method with existing methods. The results show that when the underlying distribution is unknown, and training sample sizes are small, the proposed modified procedure shows advantage by giving a smaller delay of detection.

Quantile difference estimation with censoring indicators missing at random.

In this paper, we define estimators of distribution functions when the data are right-censored and the censoring indicators are missing at random, and establish their strong representations and asymptotic normality. Besides, based on empirical likelihood method, we define maximum empirical likelihood estimators and smoothed log-empirical likelihood ratios of two-sample quantile difference in the presence and absence of auxiliary information, respectively, and prove their asymptotic distributions. Simulation study and real data analysis are conducted to investigate the finite sample behavior of the proposed methods.

Empirical likelihood in a partially linear single-index model with censored response data

An empirical likelihood (EL) approach for a partial linear single-index model with censored response data is studied. A bias-corrected EL ratio is proposed, and the asymptotic chi-squared distribution of this ratio is obtained. The result can be directly used to construct the confidence regions of the regression parameters. The estimators of regression parameters and link function are constructed, and their asymptotic distributions are obtained. Also, a confidence band of the link function is constructed. The proposed method has two main features: The first feature is that the EL ratio is calibrated directly from within, instead of multiplying an adjustment factor by an EL ratio, which reflects the nature of EL. The second feature is avoiding undersmoothing of nonparametric functions, thus ensuring that the n-consistency of the parameter estimator. As a byproduct, the EL and estimation of a single-index model with censored response data are studied. The performance of the bias-corrected EL is evaluated by the simulation studies. The proposed method is illustrated with an example of a real data analysis.

Orthogonality-based bias-corrected empirical likelihood inference for partial linear varying coefficient EV models with longitudinal data

In this paper, we study the model estimation for the partial linear varying coefficient errors-in-variables (EV) models with longitudinal data. Based on the empirical likelihood and quadratic inference functions, we propose an orthogonality-based bias-corrected empirical likelihood estimation method using the QR decomposition method of matrix. The proposed method can handle the measurement errors of covariates and unknown within-subject correlation simultaneously, estimate the parametric and nonparametric components separately. Under some regularity conditions, the resulting estimator of the parametric component is asymptotic normal and the estimators of the nonparametric varying coefficients achieve the optimal convergence rate. Furthermore, we conduct simulation studies and a real data analysis to compare the performance of the proposed method with existing methods in finite samples. The results show that the feasibility of the proposed method is obvious.

Empirical-Likelihood-Based Inference for Partially Linear Models

Partially linear models find extensive application in biometrics, econometrics, social sciences, and various other fields due to their versatility in accommodating both parametric and nonparametric elements. This study aims to establish statistical inference for the parametric component effects within these models, employing a nonparametric empirical likelihood approach. The proposed method involves a projection step to eliminate the nuisance nonparametric component and utilizes an empirical-likelihood-based technique, along with the Bartlett correction, to enhance the coverage probability of the confidence interval for the parameter of interest. This method demonstrates robustness in handling normally and non-normally distributed errors. The proposed empirical likelihood ratio statistic converges to a limiting chi-square distribution under certain regulations. Simulation studies demonstrate that this method provides better inference in terms of coverage probabilities compared to the conventional normal-approximation-based method. The proposed method is illustrated by analyzing the Boston housing data from a real study.

Empirical likelihood and estimation in a partially linear varying coefficient model with right censored data

In this paper, we study the empirical likelihood and estimation of parameters of interest in a partially linear varying coefficient model with right censored data. Two cases are considered: censoring is independent of the covariates, and censoring depends on the covariates. The bias-corrected empirical log-likelihood ratios for the regression parameters are presented, Wilks' theorem is proved, and thus the confidence regions of the regression parameters are constructed. The estimators of parametric and nonparametric components are constructed, their asymptotic distributions are obtained, and the consistent estimators of the asymptotic variances are also given. Furthermore, the partial profile empirical log-likelihood ratios for each component of the regression parameters and the coefficient functions are constructed, and show they are asymptotically chi-squared. The obtained results can be directly used to construct the confidence regions/intervals for the regression parameters and the pointwise confidence intervals for the coefficient functions. Our approach is to directly calibrate the empirical log-likelihood ratio so that the resulting ratio is asymptotically chi-squared, undersmoothing of the coefficient functions is avoided, and existing data-driven methods can be effectively used to select the optimal bandwidth. Simulation studies compare the empirical likelihood method with one based on normal approximation and perform real data analysis.