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February 2018 Jackknife empirical likelihood goodness-of-fit tests for U-statistics based general estimating equations
Hanxiang Peng, Fei Tan
Bernoulli 24(1): 449-464 (February 2018). DOI: 10.3150/16-BEJ884


Motivated by applications to goodness of fit U-statistic testing, the jackknife empirical likelihood (JEL) for vector U-statistics is justified with two approaches and the Wilks theorems are proved. This generalizes empirical likelihood (EL) for general estimating equations (GEE’s) to U-statistics based GEE’s. The results are extended to allow for the use of estimated constraints and for the number of constraints to grow with the sample size. It is demonstrated that the JEL can be used to construct EL tests for moment based distribution characteristics (e.g., skewness, coefficient of variation) with less computational burden and more flexibility than the usual EL. This can be done in the U-statistic representation approach and the vector U-statistic approach which were illustrated with several examples including JEL tests for Pearson’s correlation, Goodman–Kruskal’s Gamma, overdisperson, U-quantiles, variance components, and the simplicial depth function. The JEL tests are asymptotically distribution free. Simulations were run to exhibit power improvement of the JEL tests with incorporation of side information.


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Hanxiang Peng. Fei Tan. "Jackknife empirical likelihood goodness-of-fit tests for U-statistics based general estimating equations." Bernoulli 24 (1) 449 - 464, February 2018.


Received: 1 November 2015; Revised: 1 June 2016; Published: February 2018
First available in Project Euclid: 27 July 2017

zbMATH: 06778336
MathSciNet: MR3706765
Digital Object Identifier: 10.3150/16-BEJ884

Keywords: empirical likelihood , infinitely many constraints , Kendall’s tau , linear mixed effects model , overdisperson , Side information , simplicial depth , U-statistics

Rights: Copyright © 2018 Bernoulli Society for Mathematical Statistics and Probability

Vol.24 • No. 1 • February 2018
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