Self-concordance for empirical likelihood
نویسنده
چکیده
The usual approach to computing empirical likelihood for the mean uses Newton’s method after eliminating a Lagrange multiplier and replacing the function − log(x) by a quadratic Taylor approximation to the left of 1/n. This paper replaces the quadratic approximation by a quartic. The result is a self-concordant function for which Newton’s method with backtracking has theoretical convergence guarantees.
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