[en] Empirical likelihood (EL) breaks down when the hypothesised mean falls outside the convex hull of the sample.
We propose extrapolated EL (ExEL) – two splicing schemes that extend the log-EL ratio beyond the hull while leaving it unchanged on a user-chosen interior region.
The first scheme, ExEL1, continues EL past a data-driven cut-off using its local quadratic (Taylor) expansion.
The second scheme, ExEL2, smoothly splices EL to its global Wald quadratic approximation via a convex bridge.
Both methods extend naturally to multiple dimensions by radial reduction.
In simulations with small samples – where convex-hull violations are common – ExEL remains well-behaved and distinguishes mild from severe violations.
It also has attractive inferential properties, delivering accurate coverage probabilities with bootstrap calibration.
Disciplines :
Quantitative methods in economics & management
Author, co-author :
KOSTYRKA, Andreï ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Economics and Management (DEM)
Language :
English
Title :
Extrapolated empirical likelihood as a solution to the convex-hull-violation problem
