Empirical likelihood ratio confidence intervals for a single functional

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ID: 291027
1988
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Abstract
The empirical distribution function based on a sample is well known to be the maximum likelihood estimate of the distribution from which the sample was taken. In this paper the likelihood function for distributions is used to define a likelihood ratio function for distributions. It is shown that this empirical likelihood ratio function can be used to construct confidence intervals for the sample mean, for a class of M-estimates that includes quantiles, and for differentiable statistical functionals. The results are nonpara-metric extensions of Wilks's (1938) theorem for parametric likelihood ratios. The intervals are illustrated on some real data and compared in a simulation to some bootstrap confidence intervals and to intervals based on Student's t statistic. A hybrid method that uses the bootstrap to determine critical values of the likelihood ratio is introduced.
Reference Key
openalex_W2116855184 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Art B. Owen
Journal jurnal biometrika dan kependudukan
Year 1988
DOI
10.1093/biomet/75.2.237
URL
https://doi.org/10.1093/biomet/75.2.237
Keywords Keywords not found

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