Bartlett correctable two-sample adjusted empirical likelihood

Yukun Liu and Chi Wai Yu

Journal of Multivariate Analysis, 2010, vol. 101, issue 7, 1701-1711

Abstract: We propose a two-sample adjusted empirical likelihood (AEL) to construct confidence regions for the difference of two d-dimensional population means. This method eliminates the non-definition of the usual two-sample empirical likelihood (EL) and is shown to be Bartlett correctable. We further show that when the adjustment level is half the Bartlett correction factor for the usual two-sample EL, the two-sample AEL has the same high-order precision as the EL with Bartlett correction. To enhance the performance of the two-sample AEL with adjustment level being half the Bartlett correction factor, we propose a less biased estimate of the Bartlett correction factor. The efficiency of the proposed method is illustrated by simulations and a real data example.

Keywords: Empirical; likelihood; Bartlett; correction; Adjusted; empirical; likelihood; Edgeworth; expansion (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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