Empirical Likelihood estimation in R

Question

I'm new to Empirical Likelihood Estimation.

I'm trying to find an example of how to find the empirical likelihood estimate of a univariate mean $\mu$ using the emplik software package in R.

Any help or reference is greatly appreciated.

score 1 · Answer 1 · edited Apr 23 '15 at 06:37

1

Suppose that we have a random variable $X$ with expectation $\mu$ and we want to test $H_0 : \mu = 0$.

We can test this by

el.test(x, mu=0)

This will give us the log likelihood ratio $-2 \sum (\log(n p_i))$ and $p$ value.

Then you can decide about your hypothesis.

edited Apr 23 '15 at 06:37

QuantIbex

answered Mar 21 '15 at 06:07

code85

2

Could you write a little bit more because from your answer it is not even clear what is `el.test` function and what are the `n`, `p`, `i` values in log likelihood function. – Tim Mar 21 '15 at 07:34

score -4 · Answer 2 · answered Aug 15 '13 at 18:54

-4

maximum empirical likelihood estimate, in the iid case, is the sample mean.

empirical likelihood method helps you to find a confidence interval.

answered Aug 15 '13 at 18:54

mai

2

Could you provide a working example with R code, as requested by the OP? – chl Aug 16 '13 at 08:02

2 Answers2