Empirical likelihood test for equality of two distributions using distance of characteristic functions

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.