JSM 2004 - Toronto

Abstract #301609

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Activity Number: 379
Type: Contributed
Date/Time: Wednesday, August 11, 2004 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #301609
Title: Empirical Likelihood Estimation for a Common Mean with Heteroscedastic Variances
Author(s): Changbao Wu*+
Companies: University of Waterloo
Address: Dept. of Statistics and Actuarial Science, Waterloo, ON, N2L 3G1, Canada
Keywords: Empirical Likelihood ; Heteroscedasticity ; Confidence Intervals ; Weighted EL approach
Abstract:

Estimation of a common mean using information from k independent samples with unequal variances is a classical statistical problem, with applications found in many areas of statistics, such as designed experiments and measurement error models. We show that the recently proposed empirical likelihood method can be a very attractive approach to handling the related inference problems. The maximum empirical likelihood estimator and the empirical likelihood ratio confidence interval perform well under relatively large samples. Two alternative approaches, namely, the weighted empirical likelihood method and the augmented empirical likelihood method, are proposed and are shown to have much improved performance for small samples.

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