Penalized empirical likelihood estimation of semiparametric models

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13 Citations (Scopus)


We propose an empirical likelihood-based estimation method for conditional estimating equations containing unknown functions, which can be applied for various semiparametric models. The proposed method is based on the methods of conditional empirical likelihood and penalization. Thus, our estimator is called the penalized empirical likelihood (PEL) estimator. For the whole parameter including infinite-dimensional unknown functions, we derive the consistency and a convergence rate of the PEL estimator. Furthermore, for the finite-dimensional parametric component, we show the asymptotic normality and efficiency of the PEL estimator. We illustrate the theory by three examples. Simulation results show reasonable finite sample properties of our estimator.

Original languageEnglish
Pages (from-to)1923-1954
Number of pages32
JournalJournal of Multivariate Analysis
Issue number10
Publication statusPublished - 2007 Nov
Externally publishedYes


  • Empirical likelihood
  • Penalization
  • Semiparametric model

ASJC Scopus subject areas

  • Statistics and Probability
  • Numerical Analysis
  • Statistics, Probability and Uncertainty


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