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Statistics & Probability Letters
Article . 2018 . Peer-reviewed
License: Elsevier TDM
Data sources: Crossref
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zbMATH Open
Article . 2018
Data sources: zbMATH Open
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Empirical likelihood ratio tests with power one

Authors: Vexler, Albert; Zou, Li;

Empirical likelihood ratio tests with power one

Abstract

In the 1970s, Professor Robbins and his coauthors extended the Vile and Wald inequality in order to derive the fundamental theoretical results regarding likelihood ratio based sequential tests with power one. The law of the iterated logarithm confirms an optimal property of the power one tests. In parallel with Robbins's decision-making procedures, we propose and examine sequential empirical likelihood ratio (ELR) tests with power one. In this setting, we develop the nonparametric one- and two-sided ELR tests. It turns out that the proposed sequential ELR tests significantly outperform the classical nonparametric t-statistic-based counterparts in many scenarios based on different underlying data distributions.

Keywords

Sequential statistical analysis, Asymptotic properties of nonparametric inference, Vile and Wald inequality, Sequential tests, empirical likelihood, \(t\)-statistic, Nonparametric hypothesis testing, power one, law of the iterated logarithm

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
bronze