Bartlett correctable two-sample adjusted empirical likelihood |
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Authors: | Yukun Liu Chi Wai Yu |
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Affiliation: | a Department of Statistics and Actuarial Sciences, East China Normal University, Shanghai 200241, China b Department of Mathematics, Hong Kong University of Science and Technology, Hong Kong |
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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. |
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Keywords: | 62G15 62G20 |
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