A small sample calibration method for the empirical likelihood ratio

✍ Scribed by Min Tsao

• Book ID: 104301653
• Publisher: Elsevier Science
• Year: 2001
• Tongue: English
• Weight: 77 KB
• Volume: 54
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(01)00037-2

✦ Synopsis

We present a calibration method for improving the coverage accuracy of the empirical likelihood ratio conÿdence 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 conÿdence 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.