Canadian Journal of Statistics

Self‐concordance for empirical likelihood

Journal Article



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. The Canadian Journal of Statistics 41: 387–397; 2013 © 2013 Statistical Society of Canada

Related Topics

Related Publications

Related Content

Site Footer


This website is provided by John Wiley & Sons Limited, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ (Company No: 00641132, VAT No: 376766987)

Published features on are checked for statistical accuracy by a panel from the European Network for Business and Industrial Statistics (ENBIS)   to whom Wiley and express their gratitude. This panel are: Ron Kenett, David Steinberg, Shirley Coleman, Irena Ograjenšek, Fabrizio Ruggeri, Rainer Göb, Philippe Castagliola, Xavier Tort-Martorell, Bart De Ketelaere, Antonio Pievatolo, Martina Vandebroek, Lance Mitchell, Gilbert Saporta, Helmut Waldl and Stelios Psarakis.