Empirical likelihood test for equality of two distributions using distance of characteristic functions. Issue 6 (2nd November 2018)

• Record Type: Journal Article
• Authors: Wan, Yi; Liu, Zhi; Deng, Min
• Is Part Of: Statistics. Volume 52:Issue 6(2018)
• Page Start: 1379
• Page End: 1394
• Publication Date: 2018-11-02
• Subjects: Jackknife -- empirical likelihood -- U-statistics -- characteristic function; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2018.1520855
• Languages: English
• ISSNs: 0233-1888

Abstract

ABSTRACT: In this paper, we investigate the problem of testing for the equality of two distributions. We employ a two-sample Jackknife Empirical Likelihood (JEL) approach to construct a test statistic whose limiting distribution is Chi-square distribution with degree of freedom 1, no matter what the data dimension (fixed) is. A variety of synthetic data experiments demonstrate that our JEL test statistic performs very well, with a very neat asymptotic distribution under the null hypothesis. Furthermore, we apply the test procedure to a real dataset to obtain competitive results.