etel {retel}

Exponentially tilted empirical likelihood

Description

Computes exponentially tilted empirical likelihood.

Usage

etel(fn, x, par, opts = NULL)

Arguments

fn

An estimating function that takes the data x and parameter value par as its arguments, returning a numeric matrix. Each row is the return value from the corresponding row in x.

x

A numeric matrix, or an object that can be coerced to a numeric matrix. Each row corresponds to an observation. The number of rows must be greater than the number of columns.

par

A numeric vector of parameter values to be tested.

opts

An optional list with optimization options for nloptr(). Defaults to NULL.

Value

A single numeric value representing the log-likelihood ratio. It contains the optimization results as the attribute optim.

References

Schennach, SM (2005). "Bayesian Exponentially Tilted Empirical Likelihood." Biometrika, 92, 31–46.

Examples

# Generate data
set.seed(63456)
x <- rnorm(100)

# Define an estimating function (ex. mean)
fn <- function(x, par) {
  x - par
}

# Set parameter value
par <- 0

# Call the etel function
etel(fn, x, par)