JACKKNIFE EUCLIDEAN LIKELIHOOD-BASED INFERENCE FOR SPEARMAN'S RHO

被引：13

作者：

de Carvalho, Miguel ^{[1
,2
]}

Marques, Filipe ^{[3
]}

机构：

[1] Pontificia Univ Catolica Chile, Dept Stat, Santiago, Chile

[2] Univ Nova Lisboa, Ctr Math & Applicat, Lisbon, Portugal

[3] Univ Nova Lisboa, Ctr Math & Applicat, Fac Sci & Technol, Lisbon, Portugal

来源：

NORTH AMERICAN ACTUARIAL JOURNAL | 2012年 / 16卷 / 04期

关键词：

D O I：

10.1080/10920277.2012.10597644

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We discuss jackknife Euclidean likelihood-based inference methods, with a special focus on the construction of confidence intervals for Spearman's rho. We show that a Wilks's theorem holds for jackknife Euclidean likelihood, and based on it we construct confidence intervals for Spearman's rho. In a simulation study we examine the performance of our method, and a fire insurance claims database is used for its illustration.

引用

页码：487 / 492

页数：6

共 7 条

[1] Empirical likelihood as a goodness-of-fit measure [J].

Baggerly, KA .

BIOMETRIKA, 1998, 85 (03) :535-547

[2]

Embrechts P., 2002, RISK MANAGEMENT VALU, P176, DOI DOI 10.1017/CBO9780511615337.008

[3] Jackknife Empirical Likelihood [J].

Jing, Bing-Yi ;

Yuan, Junqing ;

Zhou, Wang .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2009, 104 (487) :1224-1232

[4]

KOWALSKI J., 2008, MODERN APPL U STAT

[5]

McNeil A. J., 2005, PRINC SER FINANC

[6]

Owen AB., 2001, EMPIRICAL LIKELIHOOD

[7] JACKKNIFE EMPIRICAL LIKELIHOOD INTERVALS FOR SPEARMAN'S RHO [J].

Wang, Ruodu ;

Peng, Liang .

NORTH AMERICAN ACTUARIAL JOURNAL, 2011, 15 (04) :475-486

← 1 →