Constrained local likelihood estimators for semiparametric skew-normal distributions

A local likelihood estimator for a nonparametric nuisance function is proposed in the context of semiparametric skew-normal distributions. Constraints imposed on such functions result in a nonparametric estimator with a different target function for maximization from classical local likelihood estimators. The optimal asymptotic semiparametric efficiency bound on parameters of interest is achieved by using this estimator in conjunction with an estimating equation formed by summing efficient scores. A generalized profile likelihood approach is also proposed. This method has the advantage of providing a unique estimate in cases where an estimating equation has multiple solutions. Our nonparametric estimator of the nuisance function leads to an estimator of the semiparametric skew-normal density. Both the estimating equation and profile likelihood approaches are applicable to more general skew-symmetric distributions. Copyright 2007, Oxford University Press.