Empirical Likelihood is Bartlett-Correctable
DiCiccio, Thomas ; Hall, Peter ; Romano, Joseph
Ann. Statist., Tome 19 (1991) no. 1, p. 1053-1061 / Harvested from Project Euclid
It is shown that, in a very general setting, the empirical likelihood method for constructing confidence intervals is Bartlett-correctable. This means that a simple adjustment for the expected value of log-likelihood ratio reduces coverage error to an extremely low $O(n^{-2})$, where $n$ denotes sample size. That fact makes empirical likelihood competitive with methods such as the bootstrap which are not Bartlett-correctable and which usually have coverage error of size $n^{-1}$. Most importantly, our work demonstrates a strong link between empirical likelihood and parametric likelihood, since the Bartlett correction had previously only been available for parametric likelihood. A general formula is given for the Bartlett correction, valid in a very wide range of problems, including estimation of mean, variance, covariance, correlation, skewness, kurtosis, mean ratio, mean difference, variance ratio, etc. The efficacy of the correction is demonstrated in a simulation study for the case of the mean.
Publié le : 1991-06-14
Classification:  Bartlett correction,  chi-squared approximation,  empirical likelihood ratio statistic,  nonparametric confidence region,  signed root empirical likelihood ratio statistic,  62A10,  62G05
@article{1176348137,
     author = {DiCiccio, Thomas and Hall, Peter and Romano, Joseph},
     title = {Empirical Likelihood is Bartlett-Correctable},
     journal = {Ann. Statist.},
     volume = {19},
     number = {1},
     year = {1991},
     pages = { 1053-1061},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176348137}
}
DiCiccio, Thomas; Hall, Peter; Romano, Joseph. Empirical Likelihood is Bartlett-Correctable. Ann. Statist., Tome 19 (1991) no. 1, pp.  1053-1061. http://gdmltest.u-ga.fr/item/1176348137/