Empirical likelihood based hypothesis testing

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Empirical likelihood based hypothesis testing

Author Info

Einmahl, J.H.J.
McKeague, I.W. (Tilburg University, Center for Economic Research)

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John Einmahl

Abstract

Omnibus tests for various nonparametric hypotheses are developed using the empirical likelihood method.These include tests for symmetry about zero, changes in distribution, independence and exponentiality.The approach is to localize the empirical likelihood using a suitable "time" variable implicit in the null hypothesis and then form an integral of the log-likelihood ratio statistic. The asymptotic null distributions of these statistics are established. In simulation studies,the proposed statistics are found to have greater power than corresponding Cramer-von Mises type statistics.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 92.

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Date of creation: 2002
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Handle: RePEc:dgr:kubcen:200292

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Related research
Keywords: likelihood; 62G10; 62G20; 62G30;

This paper has been announced in the following NEP Reports:

NEP-ALL-2002-11-10 (All new papers)
NEP-ECM-2002-11-13 (Econometrics)

References listed on IDEAS
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Emad-Eldin Aly & Subhash Kochar, 1997. "Change point tests based on U-statistics with applications in reliability," Metrika, Springer, vol. 45(1), pages 259-269, January. [Downloadable!] (restricted)
McKeague, Ian W. & Sun, Yanqing, 1996. "Transformations of Gaussian random fields to Brownian sheet and nonparametric change-point tests," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 311-319, August. [Downloadable!] (restricted)
Modarres, Reza & Gastwirth, Joseph L., 1996. "A modified runs test for symmetry," Statistics & Probability Letters, Elsevier, vol. 31(2), pages 107-112, December. [Downloadable!] (restricted)
Ibrahim A. Ahmad & Ibrahim A. Alwasel, 1999. "A Goodness-of-fit Test for Exponentiality Based on the Memoryless Property," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 681-689. [Downloadable!] (restricted)
Deheuvels, Paul, 1981. "An asymptotic decomposition for multivariate distribution-free tests of independence," Journal of Multivariate Analysis, Elsevier, vol. 11(1), pages 102-113, March. [Downloadable!] (restricted)

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