Abstract
ABSTRACTIn this paper, we investigate the problem of testing for the equality of two distributions. We employ a two-sample Jackknife Empirical Likelihood (JEL) approach to construct a test statistic whose limiting distribution is Chi-square distribution with degree of freedom 1, no matter what the data dimension (fixed) is. A variety of synthetic data experiments demonstrate that our JEL test statistic performs very well, with a very neat asymptotic distribution under the null hypothesis. Furthermore, we apply the test procedure to a real dataset to obtain competitive results.
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