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Empirical Likelihood as a Goodness-of-Fit Measure

Keith A. Baggerly
Biometrika
Vol. 85, No. 3 (Sep., 1998), pp. 535-547
Published by: Oxford University Press on behalf of Biometrika Trust
Stable URL: http://www.jstor.org/stable/2337384
Page Count: 13
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Empirical Likelihood as a Goodness-of-Fit Measure
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Abstract

The method of empirical likelihood can be viewed as one of allocating probabilities to an n-cell contingency table so as to minimise a goodness-of-fit criterion. It is shown that, when the Cressie-Read power-divergence statistic is used as the criterion, confidence regions enjoying the same convergence rates as those found for empirical likelihood can be obtained for the entire range of values of the Cressie-Read parameter λ, including -1, maximum entropy, 0, empirical likelihood is the only member which is Bartlett-correctable. However, simulation results suggest that, for the mean, using a scaled F distribution yields more accurate coverage levels for moderate sample sizes.

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