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A test for equality of two distributions via integrating characteristic functions
Yiming LIU1; Zhi LIU2; Wang ZHOU3
2019-01
Source PublicationStatistica Sinica
ISSN1017-0405
Abstract

In this paper, we investigate the problem of testing the equality of two distributions by integrating the squared norm of the difference between two corresponding empirical characteristic functions. This results in a linear combination of three different U-statistics. So the original testing problem is reduced to testing whether this linear combination is zero or not. We apply the Jackknife Empirical Likelihood (JEL) method to the new hypothesis testing problem. It has been proved that, under multivariate case, the log JEL statistic after scaling tends to a chi-square distribution with degree of freedom 1. Simulation studies are presented to assess the finite-sample performance of our method.

KeywordCharacteristic Function Jackknife Empirical Likelihood U-statistic
DOIhttp://doi.org/10.5705/ss.202017.0236
Language英语
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Citation statistics
Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorZhi LIU
Affiliation1.Nanyang Technological University
2.University of Macau
3.National University of Singapore
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Yiming LIU,Zhi LIU,Wang ZHOU. A test for equality of two distributions via integrating characteristic functions[J]. Statistica Sinica,2019.
APA Yiming LIU,Zhi LIU,&Wang ZHOU.(2019).A test for equality of two distributions via integrating characteristic functions.Statistica Sinica.
MLA Yiming LIU,et al."A test for equality of two distributions via integrating characteristic functions".Statistica Sinica (2019).
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