Electronic Journal of Statistics

Empty set problem of maximum empirical likelihood methods

Marian Grendár and George Judge

Full-text: Open access

Abstract

In an influential work, Qin and Lawless (1994) proposed a general estimating equations (GEE) formulation for maximum empirical likelihood (MEL) estimation and inference. The formulation replaces a model specified by GEE with a set of data-supported probability mass functions that satisfy empirical estimating equations (E3). In this paper we use several examples from the literature to demonstrate that the set may be empty for some E3 models and finite data samples. As a result, MEL does not exist for such models and data sets. If MEL and other E3-based methods are to be used, then models will have to be checked on case-by-case basis for the absence or presence of the empty set problem.

Article information

Source
Electron. J. Statist. Volume 3 (2009), 1542-1555.

Dates
First available in Project Euclid: 4 January 2010

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1262617418

Digital Object Identifier
doi:10.1214/09-EJS528

Mathematical Reviews number (MathSciNet)
MR2578837

Zentralblatt MATH identifier
1326.62051

Subjects
Primary: 62F10: Point estimation

Keywords
empirical estimating equations generalized minimum contrast empirical likelihood euclidean empirical likelihood generalized empirical likelihood affine empty set problem empirical likelihood bootstrap model selection

Citation

Grendár, Marian; Judge, George. Empty set problem of maximum empirical likelihood methods. Electron. J. Statist. 3 (2009), 1542--1555. doi:10.1214/09-EJS528. https://projecteuclid.org/euclid.ejs/1262617418.


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