Empirical Likelihood

3 credits · Graduate

Empirical likelihood (EL) allows likelihood based inferences without assuming any parametric form for the likelihood. It is based instead on reweighting the sample values. It provides data driven shapes for confidence regions and confidence bands. EL tests have competitive power. EL has recently been used in causal inference, reinforcement learning and distributionally robust inference. This course covers: nonparametric maximum likelihood and likelihood ratios, censoring and truncation, biased sampling, estimating equations, GMM, Bayesian bootstrap, Euclidean and Kullback-Leibler log likelihoods and recent research directions.