Empirical likelihood-based inference for the difference of two location parameters using smoothed M-estimators. (English) Zbl 1426.62139
Summary: We consider one of the classical problems in statistics: the inference for the two-sample location problem. In this paper, we present a new empirical likelihood (EL) method for the difference of two smoothed M-estimators. To deal with additional nuisance scale parameters, we use the plug-in empirical likelihood, and we establish asymptotic properties of the new estimators. For the empirical study, we consider the important case of the smoothed Huber M-estimator. Our empirical results show that the new method is a competitive alternative to the classical procedures regarding inference about the difference of two location parameters. The software implementation for the new empirical likelihood method is based on the R package EL, which has been developed for related two-sample problems.
Keywords:
robust estimation; M-estimator; smoothed Huber estimator; empirical likelihood; two-sample caseReferences:
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