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Bayesian penalized empirical likelihood and Markov Chain Monte Carlo sampling

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  • Jinyuan Chang
  • Cheng Yong Tang
  • Yuanzheng Zhu

Abstract

In this study, we introduce a novel methodological framework called Bayesian Penalized Empirical Likelihood (BPEL), designed to address the computational challenges inherent in empirical likelihood (EL) approaches. Our approach has two primary objectives: (i) to enhance the inherent flexibility of EL in accommodating diverse model conditions, and (ii) to facilitate the use of well-established Markov Chain Monte Carlo (MCMC) sampling schemes as a convenient alternative to the complex optimization typically required for statistical inference using EL. To achieve the first objective, we propose a penalized approach that regularizes the Lagrange multipliers, significantly reducing the dimensionality of the problem while accommodating a comprehensive set of model conditions. For the second objective, our study designs and thoroughly investigates two popular sampling schemes within the BPEL context. We demonstrate that the BPEL framework is highly flexible and efficient, enhancing the adaptability and practicality of EL methods. Our study highlights the practical advantages of using sampling techniques over traditional optimization methods for EL problems, showing rapid convergence to the global optima of posterior distributions and ensuring the effective resolution of complex statistical inference challenges.

Suggested Citation

  • Jinyuan Chang & Cheng Yong Tang & Yuanzheng Zhu, 2024. "Bayesian penalized empirical likelihood and Markov Chain Monte Carlo sampling," Papers 2412.17354, arXiv.org, revised Mar 2025.
  • Handle: RePEc:arx:papers:2412.17354
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    References listed on IDEAS

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    1. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
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