Empirical Likelihood Inference for Random Coefficient INAR(P) Process

Empirical Likelihood Inference for Random Coefficient INAR(P) Process
Author: Haixiang Zhang
Publisher:
Total Pages: 0
Release: 2011
Genre:
ISBN:

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In this article, we study the empirical likelihood (EL) method for the pth-order random coefficient integer-valued autoregressive process. In particular, the limiting distribution of the log EL ratio statistic is established and the confidence regions for the parameter of interest are derived. Also a simulation study is conducted for the evaluation of the developed approach.

Empirical Likelihood

Empirical Likelihood
Author: Art B. Owen
Publisher: CRC Press
Total Pages: 322
Release: 2001-05-18
Genre: Mathematics
ISBN: 1420036157

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Empirical likelihood provides inferences whose validity does not depend on specifying a parametric model for the data. Because it uses a likelihood, the method has certain inherent advantages over resampling methods: it uses the data to determine the shape of the confidence regions, and it makes it easy to combined data from multiple sources. It al

Multiply Robust Empirical Likelihood Inference for Missing Data and Causal Inference Problems

Multiply Robust Empirical Likelihood Inference for Missing Data and Causal Inference Problems
Author: Shixiao Zhang
Publisher:
Total Pages: 119
Release: 2019
Genre: Medical statistics
ISBN:

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Missing data are ubiquitous in many social and medical studies. A naive complete-case (CC) analysis by simply ignoring the missing data commonly leads to invalid inferential results. This thesis aims to develop statistical methods addressing important issues concerning both missing data and casual inference problems. One of the major explored concepts in this thesis is multiple robustness, where multiple working models can be properly accommodated and thus to improve robustness against possible model misspecification. Chapter 1 serves as a brief introduction to missing data problems and causal inference. In this Chapter, we highlight two major statistical concepts we will repeatedly adopt in subsequent chapters, namely, empirical likelihood and calibration. We also describe some of the problems that will be investigated in this thesis. There exists extensive literature of using calibration methods with empirical likelihood in missing data and causal inference. However, researchers among different areas may not realize the conceptual similarities and connections with one another. In Chapter 2, we provide a brief literature review of calibration methods, aiming to address some of the desirable properties one can entertain by using calibration methods. In Chapter 3, we consider a simple scenario of estimating the means of some response variables that are subject to missingness. A crucial first step is to determine if the data are missing completely at random (MCAR), in which case a complete-case analysis would suffice. We propose a unified approach to testing MCAR and the subsequent estimation. Upon rejecting MCAR, the same set of weights used for testing can then be used for estimation. The resulting estimators are consistent if the missingness of each response variable depends only on a set of fully observed auxiliary variables and the true outcome regression model is among the user-specified functions for deriving the weights. The proposed testing procedure is compared with existing alternative methods which do not provide a method for subsequent estimation once the MCAR is rejected. In Chapter 4, we consider the widely adopted pretest-posttest studies in causal inference. The proposed test extends the existing methods for randomized trials to observational studies. We propose a dual method to testing and estimation of the average treatment effect (ATE). We also consider the potential outcomes are subject to missing at random (MAR). The proposed approach postulates multiple models for the propensity score of treatment assignment, the missingness probability and the outcome regression. The calibrated empirical probabilities are constructed through maximizing the empirical likelihood function subject to constraints deducted from carefully chosen population moment conditions. The proposed method is in a two-step fashion where the first step is to obtain the preliminary calibration weights that are asymptotically equivalent to the true propensity score of treatment assignment. Then the second step is to form a set of weights incorporating the estimated propensity score and multiple models for the missingness probability and the outcome regression. The proposed EL ratio test is valid and the resulting estimator is also consistent if one of the multiple models for the propensity score as well as one of the multiple models for the missingness probability or the outcome regression models are correctly specified. Chapter 5 extends Chapter 4's results to testing the equality of the cumulative distribution functions of the potential outcomes between the two intervention groups. We propose an empirical likelihood based Mann-Whitney test and an empirical likelihood ratio test which are multiply robust in the same sense as the multiply robust estimator and the empirical likelihood ratio test for the average treatment effect in Chapter 4. We conclude this thesis in Chapter 6 with some additional remarks on major results presented in the thesis along with several interesting topics worthy of further exploration in the future.

Empirical Likelihood Inference for Two-sample Problems

Empirical Likelihood Inference for Two-sample Problems
Author: Ying Yan
Publisher:
Total Pages: 40
Release: 2010
Genre:
ISBN:

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In this thesis, we are interested in empirical likelihood (EL) methods for two-sample problems, with focus on the difference of the two population means. A weighted empirical likelihood method (WEL) for two-sample problems is developed. We also consider a scenario where sample data on auxiliary variables are fully observed for both samples but values of the response variable are subject to missingness. We develop an adjusted empirical likelihood method for inference of the difference of the two population means for this scenario where missing values are handled by a regression imputation method. Bootstrap calibration for WEL is also developed. Simulation studies are conducted to evaluate the performance of naive EL, WEL and WEL with bootstrap calibration (BWEL) with comparison to the usual two-sample t-test in terms of power of the tests and coverage accuracies. Simulation for the adjusted EL for the linear regression model with missing data is also conducted.

Adjusted Empirical Likelihood Method and Parametric Higher Order Asymptotic Method with Applications to Finance

Adjusted Empirical Likelihood Method and Parametric Higher Order Asymptotic Method with Applications to Finance
Author: Hang Jing Wang
Publisher:
Total Pages: 0
Release: 2019
Genre:
ISBN:

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In recent years, applying higher order likelihood-based method to obtain inference for a scalar parameter of interest is becoming more popular in statistics because of the extreme accuracy that it can achieve. In this dissertation, we applied higher order likelihood-based method to obtain inference for the correlation coefficient of a bivariate normal distribution with known variances, and the mean parameter of a normal distribution with a known coefficient of variation. Simulation results show that the higher order method has remarkable accuracy even when the sample size is small. The empirical likelihood (EL) method extends the traditional parametric likelihood-based inference method to a nonparametric setting. The EL method has several nice properties, however, it is subject to the convex hall problem, especially when the sample size is small. In order to overcome this difficulty, Chen et al. (2008) proposed the adjusted empirical likelihood (AEL) method which adjusts the EL function by adding one ``artificial'' point created form the observed sample. In this dissertation, we extended the AEL inference to the situation with nuisance parameters. In particular, we applied the AEL method to obtain inference for the correlation coefficient. Simulation results show that the AEL method is more robust than its competitors. For the application to finance, we apply both the higher order parametric method and the AEL method to obtain inference for the Sharpe ratio. The Sharpe ratio is the prominent risk-adjusted performance measure used by practitioners. Simulation results show that the higher order parametric method performs well for data from normal distribution, but it is very sensitive to model specifications. On the other hand, the AEL method has the most robust performance under a variety of model specifications.

Empirical Likelihood and Extremes

Empirical Likelihood and Extremes
Author: Yun Gong
Publisher:
Total Pages:
Release: 2012
Genre: Bootstrap (Statistics)
ISBN:

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In 1988, Owen introduced empirical likelihood as a nonparametric method for constructing confidence intervals and regions. Since then, empirical likelihood has been studied extensively in the literature due to its generality and effectiveness. It is well known that empirical likelihood has several attractive advantages comparing to its competitors such as bootstrap: determining the shape of confidence regions automatically using only the data; straightforwardly incorporating side information expressed through constraints; being Bartlett correctable. The main part of this thesis extends the empirical likelihood method to several interesting and important statistical inference situations. This thesis has four components. The first component (Chapter II) proposes a smoothed jackknife empirical likelihood method to construct confidence intervals for the receiver operating characteristic (ROC) curve in order to overcome the computational difficulty when we have nonlinear constrains in the maximization problem. The second component (Chapter III and IV) proposes smoothed empirical likelihood methods to obtain interval estimation for the conditional Value-at-Risk with the volatility model being an ARCH/GARCH model and a nonparametric regression respectively, which have applications in financial risk management. The third component(Chapter V) derives the empirical likelihood for the intermediate quantiles, which plays an important role in the statistics of extremes. Finally, the fourth component (Chapter VI and VII) presents two additional results: in Chapter VI, we present an interesting result by showing that, when the third moment is infinity, we may prefer the Student's t-statistic to the sample mean standardized by the true standard deviation; in Chapter VII, we present a method for testing a subset of parameters for a given parametric model of stationary processes.

Empirical Likelihood Methods in Missing Response Problems and Causal Interference

Empirical Likelihood Methods in Missing Response Problems and Causal Interference
Author: Kaili Ren
Publisher:
Total Pages: 114
Release: 2016
Genre: Causation
ISBN:

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This manuscript contains three topics in missing data problems and causal inference. First, we propose an empirical likelihood estimator as an alternative to Qin and Zhang (2007) in missing response problems under MAR assumption. A likelihood-based method is used to obtain the mean propensity score instead of a moment-based method. Our proposed estimator shares the double-robustness property and achieves the semiparametric efficiency lower bound when the regression model and the propensity score model are both correctly specified. Our proposed estimator has better performance when the propensity score is correctly specified. In addition, we extend our proposed method to the estimation of ATE in observational causal inferences. By utilizing the proposed method on a dataset from the CORAL clinical trial, we study the causal effect of cigarette smoking on renal function in patients with ARAS. The higher cystatin C and lower CKD-EPI GFR for smokers demonstrate the negative effect of smoking on renal function in patients with ARAS. Second, we explore a more efficient approach in missing response problems under MAR assumption. Instead of using one propensity score model and one working regression model, we postulate multiple working regression and propensity score models. Moreover, rather than maximizing the conditional likelihood, we maximize the full likelihood under constraints with respect to the postulated parametric functions. Our proposed estimator is consistent if one of the propensity scores is correctly specified and it achieves the semiparametric efficiency lower bound when one of the working regression models is correctly specified as well. This estimator is more efficient than other current estimators when one of the propensity scores is correctly specified. Finally, I propose empirical likelihood confidence intervals in missing data problems, which make very weak distribution assumptions. We show that the -2 empirical log-likelihood ratio function follows a scaled chi-squared distribution if either the working propensity score or the working regression model is correctly specified. If the two models are both correctly specified, the -2 empirical log-likelihood ratio function follows a chi-squared distribution. Empirical likelihood confidence intervals perform better than Wald confidence intervals of the AIPW estimator, when sample size is small and distribution of the response is highly skewed. In addition, empirical likelihood confidence intervals for ATE can also be built in causal inference.

Empirical Likelihood Method for Ratio Estimation

Empirical Likelihood Method for Ratio Estimation
Author: Bin Dong
Publisher:
Total Pages: 131
Release: 2011
Genre:
ISBN:

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Empirical likelihood, which was pioneered by Thomas and Grunkemeier (1975) and Owen (1988), is a powerful nonparametric method of statistical inference that has been widely used in the statistical literature. In this thesis, we investigate the merits of empirical likelihood for various problems arising in ratio estimation.