Multivariate two-sample extended empirical likelihood

TL;DR

This paper introduces an extended empirical likelihood method for two-sample problems that improves accuracy and achieves second-order correctness, expanding the domain to the full parameter space.

Contribution

It develops a two-sample extended empirical likelihood that enhances accuracy and domain coverage, building on previous Bartlett-corrected methods.

Findings

Achieves second-order accuracy with Bartlett correction

Expands the empirical likelihood domain to the full parameter space

Provides a more accurate two-sample inference method

Abstract

Jing (1995) and Liu et al. (2008) studied the two-sample empirical likelihood and showed it is Bartlett correctable for the univariate and multivariate cases, respectively. We expand its domain to the full parameter space and obtain a two-sample extended empirical likelihood which is more accurate and can also achieve the second-order accuracy of the Bartlett correction.