On the mahalanobis-distance based penalized empirical likelihood method in high dimensions

In this paper, we consider the penalized empirical likelihood (PEL) method of Bartolucci (2007) for inference on the population mean which is a modification of the standard empirical likelihood and employs a penalty based on the Mahalanobis-distance. We derive the asymptotic distributions of the PEL ratio statistic when the dimension of the observations increases with the sample size. Finite sample properties of the method are investigated through a small simulation study.