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A small sample calibration method for the empirical likelihood ratio

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  • Tsao, Min

Abstract

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

Suggested Citation

  • Tsao, Min, 2001. "A small sample calibration method for the empirical likelihood ratio," Statistics & Probability Letters, Elsevier, vol. 54(1), pages 41-45, August.
    • Handle: RePEc:eee:stapro:v:54:y:2001:i:1:p:41-45
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    Cited by:

    1. Tsao, Min, 2004. "A new method of calibration for the empirical loglikelihood ratio," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 305-314, July.

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