Empirical likelihood

Summary

Empirical likelihood is a method of inference that uses a likelihood ratio without assuming a parametric family. It assigns unknown weights to the observed data points and maximises the product of the weights under a constraint given by the parameter value. It then compares the result with the unconstrained maximum. Art Owen developed it in the late 1980s. Like a parametric likelihood ratio, it yields tests and confidence regions with chi-squared calibration, and its confidence regions take their shape from the data.