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On the relationship between empirical likelihood and empirical saddlepoint approximation for multivariate M-estimators

Authors:	MONTI ANNA CLARA; RONCHETTI ELVEZIO

Institution:	¹Centro di Specializzazione e Ricerche Economico-agrarie per il Mezzogiorno, Via Università 96, 80055 Portici (Napoli) Italy ²Faculty of Economic and Social Sciences, University of Geneva CH-1211 Geneva, Switzerland

Abstract:

Keywords:	Empirical bootstrap likelihood Empirical likelihood Influence function M-estimator Nonparametric confidence regions Saddlepoint approximation Small sample asymptotics
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