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Self-concordant Profile Empirical Likelihood Ratio Tests for the Population Correlation Coefficient: A Simulation Study

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Stochastic Models, Statistics and Their Applications

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 122))

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Abstract

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.

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Author information

Authors and Affiliations

  1. Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117, Berlin, Germany

    Thorsten Dickhaus

Authors
  1. Thorsten Dickhaus
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Correspondence to Thorsten Dickhaus .

Editor information

Editors and Affiliations

  1. Institute of Statistics, RWTH Aachen University, Aachen, Germany

    Ansgar Steland

  2. Dept. of Computer Engineering, Control and Robotics, Wrocław University of Technology, Wrocław, Poland

    Ewaryst Rafajłowicz

  3. Inst. of Mathematics and Computer Science, Wrocław University of Technology, Wrocław, Poland

    Krzysztof Szajowski

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Dickhaus, T. (2015). Self-concordant Profile Empirical Likelihood Ratio Tests for the Population Correlation Coefficient: A Simulation Study. In: Steland, A., Rafajłowicz, E., Szajowski, K. (eds) Stochastic Models, Statistics and Their Applications. Springer Proceedings in Mathematics & Statistics, vol 122. Springer, Cham. https://doi.org/10.1007/978-3-319-13881-7_28

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