Jackknife empirical likelihood ratio test for testing the equality of semivariance

Saparya Suresh and Sudheesh K. Kattumannil ()
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Saparya Suresh: Indian Institute of Management
Sudheesh K. Kattumannil: Indian Statistical Institute

Statistical Papers, 2025, vol. 66, issue 1, No 16, 17 pages

Abstract: Abstract Semivariance is a measure of the dispersion of all observations that fall above the mean or target value of a random variable and it plays an important role in life-length, actuarial and income studies. In this paper, we develop a new non-parametric test for testing the equality of upper semivariance. We use the U-statistic theory to derive the test statistic and then study the asymptotic properties of the test statistic. We also develop a jackknife empirical likelihood (JEL) ratio test for testing the equality of upper semivariance. Extensive Monte Carlo simulation studies are carried out to validate the performance of the proposed JEL-based test. We illustrate the test procedure using real data.

Keywords: Jackknife empirical likelihood; Partial moments; Semivariance; U-statistics; 62G10 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s00362-024-01636-z

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