Jackknife empirical likelihood methods for gini correlations and their equality testing
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Publication:2317239
DOI10.1016/J.JSPI.2018.05.004zbMATH Open1418.62221arXiv1806.00792OpenAlexW2805684303MaRDI QIDQ2317239FDOQ2317239
Authors: Yongli Sang, Xin Dang, Yichuan Zhao 
Publication date: 9 August 2019
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Abstract: The Gini correlation plays an important role in measuring dependence of random variables with heavy tailed distributions, whose properties are a mixture of Pearson's and Spearman's correlations. Due to the structure of this dependence measure, there are two Gini correlations between each pair of random variables, which are not equal in general. Both the Gini correlation and the equality of the two Gini correlations play important roles in Economics. In the literature, there are limited papers focusing on the inference of the Gini correlations and their equality testing. In this paper, we develop the jackknife empirical likelihood (JEL) approach for the single Gini correlation, for testing the equality of the two Gini correlations, and for the Gini correlations' differences of two independent samples. The standard limiting chi-square distributions of those jackknife empirical likelihood ratio statistics are established and used to construct confidence intervals, rejection regions, and to calculate -values of the tests. Simulation studies show that our methods are competitive to existing methods in terms of coverage accuracy and shortness of confidence intervals, as well as in terms of power of the tests. The proposed methods are illustrated in an application on a real data set from UCI Machine Learning Repository.
Full work available at URL: https://arxiv.org/abs/1806.00792
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Cited In (16)
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- Empirical likelihood test for diagonal symmetry
- The doubling time analysis for modified infectious disease Richards model with applications to COVID-19 pandemic
- Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
- Non-parametric inference for Gini covariance and its variants
- A two sample nonparametric test for variability via empirical likelihood methods
- On the proper bounds of the Gini correlation
- A jackknife empirical likelihood approach for \(K\)-sample tests
- Bayesian jackknife empirical likelihood for the error variance in linear regression models
- Jackknife empirical likelihood-based inference for S-Gini indices
- Depth-based weighted jackknife empirical likelihood for non-smooth \(U\)-structure equations. WJEL for \(U\)-structure equations
- Reduce the computation in jackknife empirical likelihood for comparing two correlated Gini indices
- Jackknife empirical likelihood confidence intervals for the categorical Gini correlation
- A review of recent advances in empirical likelihood
- Unified smoothed jackknife empirical likelihood tests for comparing income inequality indices
- Symmetric Gini covariance and correlation
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