Empirical likelihood ratio under infinite covariance matrix of the random vectors

Conghua Cheng and Zhi Liu

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 18, 4300-4307

Abstract: In this article, we show that the log empirical likelihood ratio statistic for the population mean vector converges in distribution to χ(q)2 as n→∞ when the population is in the domain of attraction of normal law but has infinite covariance matrix. The simulation results show that the empirical likelihood ratio method is applicable under the infinite second moment condition.

Date: 2021
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DOI: 10.1080/03610926.2020.1713377

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