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Empirical likelihood in a semiparametric model
(with J. Qin)
Scandinavian Journal of Statistics , 23(2), 1996, pp. 209-219
Abstract: Sometimes we cannot specify a statistical model in a parametric form completely. For example, we might assume that a random variable has a distribution that is roughly normal in the centre of the distribution but with tails that are arbitrary. We might then be interested in inference of the mean of the distribution, using methods that are insensitive to the shape of the tails. In this paper, we define the semi-parametric likelihood function. We show that the semi-parametric likelihood ratio statistic has asymptotically a chi-squared distribution. Some simulation results are presented.
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