Cookies?
Library Header Image
LSE Research Online LSE Library Services

The empty set and zero likelihood problems in maximum empirical likelihood estimation

Bergsma, Wicher, Croon, Marcel and van der Ark, L. Andries (2012) The empty set and zero likelihood problems in maximum empirical likelihood estimation. Electronic Journal of Statistics, 6. pp. 2356-2361. ISSN 1935-7524

Full text not available from this repository.

Identification Number: 10.1214/12-EJS750

Abstract

We describe a previously unnoted problem which, if it occurs, causes the empirical likelihood method to break down. It is related to the empty set problem, recently described in detail by Grendár and Judge (2009), which is the problem that the empirical likelihood model is empty, so that maximum empirical likelihood estimates do not exist. An example is the model that the mean is zero, while all observations are positive. A related problem, which appears to have gone unnoted so far, is what we call the zero likelihood problem. This occurs when the empirical likelihood model is nonempty but all its elements have zero empirical likelihood. Hence, also in this case inference regarding the model under investigation breaks down. An example is the model that the covariance is zero, and the sample consists of monotonically associated observations. In this paper, we define the problem generally and give examples. Although the problem can occur in many situations, we found it to be especially prevalent in marginal modeling of categorical data, when the problem often occurs with probability close to one for large, sparse contingency tables.

Item Type: Article
Official URL: http://projecteuclid.org/handle/euclid.ejs
Additional Information: © 2013 Institute of Mathematical Statistics
Divisions: Statistics
Subjects: Q Science > QA Mathematics
Sets: Departments > Statistics
Date Deposited: 17 Apr 2013 11:50
Last Modified: 20 Feb 2019 10:15
URI: http://eprints.lse.ac.uk/id/eprint/49697

Actions (login required)

View Item View Item