EMPIRICAL LIKELIHOOD ESTIMATION BASED ON SIMULATED MOMENT CONDITIONS | Science Publications

Journal of Mathematics and Statistics

Xing Wang¹ 

关键词: Empirical Likelihood;    Simulated Moments;    Importance Sampling;   

DOI  :  10.3844/jmssp.2014.111.116

学科分类：社会科学、人文和艺术（综合）

来源: Science Publications

【 摘 要 】

In this study we discuss the optimization of the Empirical Likelihood (EL) criterion function when the moment condition is nonstandard. We deal with this issue following the Method of Simulated Moment (MSM) introduced and we use importance sampling method to smooth discrete moment conditions. We have demonstrated the convergence and asymptotic normality of the empirical likelihood estimator from the simulated moment conditions.

【 授权许可】

Unknown