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On the accuracy of empirical likelihood confidence regions for linear regression model

  • Regression Models
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Abstract

The coverage errors of the empirical likelihood confidence regions for β in a linear regression model,Y i=x iβ+ε i , 1≤i≤n, are of ordern −1. Bartlett corrections may be employed to reduce the order of magnitude of the coverage errors ton −2. For practical implementation of Bartlett correction, an empirical Bartlett correction is given.

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Author notes

  1. Song Xi Chen

    Present address: Division of Fisheries and Biometrics Unit, CSIRO Australia, GPO Box 1538, 7001, Hobart, Tasmania, Australia

Authors and Affiliations

  1. Centre for Mathematics and Its Applications, Australian National University, GPO Box 4, ACT 2601, Canberra, Australia

    Song Xi Chen

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  1. Song Xi Chen
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Chen, S.X. On the accuracy of empirical likelihood confidence regions for linear regression model. Ann Inst Stat Math 45, 621–637 (1993). https://doi.org/10.1007/BF00774777

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  • DOI: https://doi.org/10.1007/BF00774777

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