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Jackknife empirical likelihood ratio test for testing the equality of semivariance

Author

Listed:
  • Saparya Suresh

    (Indian Institute of Management)

  • Sudheesh K. Kattumannil

    (Indian Statistical Institute)

Abstract

Semivariance is a measure of the dispersion of all observations that fall above the mean or target value of a random variable and it plays an important role in life-length, actuarial and income studies. In this paper, we develop a new non-parametric test for testing the equality of upper semivariance. We use the U-statistic theory to derive the test statistic and then study the asymptotic properties of the test statistic. We also develop a jackknife empirical likelihood (JEL) ratio test for testing the equality of upper semivariance. Extensive Monte Carlo simulation studies are carried out to validate the performance of the proposed JEL-based test. We illustrate the test procedure using real data.

Suggested Citation

  • Saparya Suresh & Sudheesh K. Kattumannil, 2025. "Jackknife empirical likelihood ratio test for testing the equality of semivariance," Statistical Papers, Springer, vol. 66(1), pages 1-17, February.
    • Handle: RePEc:spr:stpapr:v:66:y:2025:i:1:d:10.1007_s00362-024-01636-z
    DOI: 10.1007/s00362-024-01636-z
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