Self-concordant profile empirical likelihood ratio tests for the population correlation coefficient: A simulation study
- Dickhaus, Thorsten
2010 Mathematics Subject Classification
- 62F03 62F25 62G15 62G99
- Confidence region, elliptical model, Lagrange multiplier, nonparametric tests, type I error rate, Wilks phenomenon
We present results of a simulation study regarding the finite-sample type I error behavior of the self-concordant profile empirical likelihood ratio (ELR) test for the population correlation coefficient. Three different families of bivariate elliptical distributions are taken into account. Uniformly over all considered models and parameter configurations, the self-concordant profile ELR test does not keep the significance level for finite sample sizes, albeit the level exceedance monotonously decreases to zero as the sample size increases. We discuss some potential modifications to address this problem.
- Springer Proceedings in Mathematics & Statistics, Springer Berlin/Heidelberg, 2015, pp. 253--260