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Lunardon, Nicola and Adimari, Gianfranco (2014) Second-order accurate confidence regions based on members of the generalised power divergence family. [Working Paper] WORKING PAPER SERIES, 8/2014 . , PADOVA (Inedito)

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Abstract (english)

Recently, a technique based on pseudo-observations has been proposed to tackle the so called convex hull problem for the empirical likelihood statistic. The resulting adjusted empirical likelihood also achieves the highorder precision of the Bartlett correction. Nevertheless, the technique induces an upper bound on the resulting statistic that may lead, in certain circumstances, to worthless confidence regions equal to the whole parameter space. In this paper we show that suitable pseudo-observations can be deployed to make each element of the generalised power divergence family Bartlett-correctable and released from the convex hull problem. Our approach is conceived to achieve this goal by means of two distinct sets of pseudo-observations with dfferent tasks. An important effect of our formulation is to provide a solution that permits to overcome the problem of the upper bound. The proposal, whose effectiveness is confirmed by simulation results, gives back attractiveness to a broad class of statistics that potentially contains good alternatives to the empirical likelihood.

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EPrint type:Working Paper
Anno di Pubblicazione:August 2014
Key Words:Bartlett correction, High-order asymptotics, Maximum entropy, Empirical likelihood, Exponential empirical likelihood, Power divergence
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7205
Depositato il:18 Sep 2014 15:54
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