Empirical likelihood ratio under infinite second moment

被引：3

作者：

Cheng, Conghua ^{[1
,2
]}

Liu, Yiming ^{[3
]}

Liu, Zhi ^{[4
,5
]}

机构：

[1] Zhaoqing Univ, Sch Math & Stat, Zhaoqing, Guangdong, Peoples R China

[2] Lingnan Normal Univ, Sch Math & Stat, Zhanjiang, Guangdong, Peoples R China

[3] Nanyang Technol Univ, Div Math Sci, Singapore, Singapore

[4] Univ Macau, Dept Math, Taipa, Macau Sar, Peoples R China

[5] UMacau Res Inst, Zhuhai, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2017年 / 46卷 / 14期

关键词：

Confidence interval; Domain of attraction of normal law; Empirical likelihood; Infinite variance; 62B05; 62G30; ASYMPTOTICS;

D O I：

10.1080/03610926.2016.1139135

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we show that the log empirical likelihood ratio statistic for the population mean converges in distribution to (2)((1)) as n when the population is in the domain of attraction of normal law but has infinite variance. The simulation results show that the empirical likelihood ratio method is applicable under the infinite second moment condition.

引用

页码：6909 / 6915

页数：7

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