A small sample calibration method for the empirical likelihood ratio

Min Tsao

Statistics & Probability Letters, 2001, vol. 54, issue 1, 41-45

Abstract: We present a calibration method for improving the coverage accuracy of the empirical likelihood ratio confidence interval for the mean. The method is made possible by a linear transformation invariance property of its coverage level. Simulation results show that, for non-normal distributions, the coverage level of the normal distribution calibrated empirical likelihood ratio confidence interval is comparable to that of the estimated Bartlett-corrected interval. For normal distributions, its coverage level is exact and it is competitive to the t-interval in terms of the variance and expected value of the interval length.

Keywords: Confidence; interval; Empirical; likelihood; t-interval; z-interval (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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