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Empirical likelihood ratio for two-sample compound Poisson processes under infinite second moment

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  • Conghua Cheng

Abstract

In this article, the author focus on the simple and yet very important case of making inference on the difference of two population means using the empirical likelihood approach of two sample compound Poisson process under infinite second moment. It is shown that the log empirical likelihood ratio statistic for the difference of two population means converges in distribution to χ(1)2 as n→∞. The simulation results show that the empirical likelihood ratio method is applicable under infinite second moment.

Suggested Citation

  • Conghua Cheng, 2022. "Empirical likelihood ratio for two-sample compound Poisson processes under infinite second moment," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(11), pages 3787-3798, June.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:11:p:3787-3798
    DOI: 10.1080/03610926.2020.1801741
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    Cited by:

    1. Marek Skarupski & Qinhao Wu, 2024. "Confidence bounds for compound Poisson process," Statistical Papers, Springer, vol. 65(8), pages 5351-5377, October.

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