Jackknife empirical likelihood ratio test for testing the equality of semivariance
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866909122159443968 |
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| author | Suresh, Saparya Kattumannil, Sudheesh K. |
| author_facet | Suresh, Saparya Kattumannil, Sudheesh K. |
| contents | Semivariance is a measure of the dispersion of all observations that fall above the mean or target value of a random variable and it plays an important role in life-length, actuarial and income studies. In this paper, we develop a new non-parametric test for equality of upper semi-variance. We use the U-statistic theory to derive the test statistic and then study the asymptotic properties of the test statistic. We also develop a jackknife empirical likelihood (JEL) ratio test for equality of upper Semivariance. Extensive Monte Carlo simulation studies are carried out to validate the performance of the proposed JEL-based test. We illustrate the test procedure using real data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_09816 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Jackknife empirical likelihood ratio test for testing the equality of semivariance Suresh, Saparya Kattumannil, Sudheesh K. Methodology 62G10 Semivariance is a measure of the dispersion of all observations that fall above the mean or target value of a random variable and it plays an important role in life-length, actuarial and income studies. In this paper, we develop a new non-parametric test for equality of upper semi-variance. We use the U-statistic theory to derive the test statistic and then study the asymptotic properties of the test statistic. We also develop a jackknife empirical likelihood (JEL) ratio test for equality of upper Semivariance. Extensive Monte Carlo simulation studies are carried out to validate the performance of the proposed JEL-based test. We illustrate the test procedure using real data. |
| title | Jackknife empirical likelihood ratio test for testing the equality of semivariance |
| topic | Methodology 62G10 |
| url | https://arxiv.org/abs/2401.09816 |