Hybrid combinations of parametric and empirical likelihoods.

ABSTRACT: This paper develops a hybrid likelihood (HL) method based on a compromise between parametric and nonparametric likelihoods. Consider the setting of a parametric model for the distribution of an observation Y with parameter θ. Suppose there is also an estimating function m(·, μ) identifying another parameter μ via Em(Y, μ) = 0, at the outset defined independently of the parametric model. To borrow strength from the parametric model while obtaining a degree of robustness from the empirical likelihood method, we formulate inference about θ in terms of the hybrid likelihood function H_n (θ) = L_n (θ)^1-a R_n (μ(θ)) ^a .

SUBMITTER: Hjort NL 

PROVIDER: S-EPMC6602551 | biostudies-literature | 2018 Oct

REPOSITORIES: biostudies-literature