Easy Maximum Empirical Likelihood Estimation of Linear Functionals Of A Probability Measure With Infinitely Many Constraints

In this article, we construct semiparametrically efficient estimators of linear functionals of a probability measure in the presence of side information using an easy empirical likelihood approach. We use estimated constraint functions and allow the number of constraints to grow with the sample size. Considered are three cases of information which can be characterized by infinitely many constraints: (1) the marginal distributions are known, (2) the marginals are unknown but identical, and (3) distributional symmetry. An improved spatial depth function is defined and its asymptotic properties are studied. Simulation results on efficiency gain are reported.