Smoothed Weighted Empirical Likelihood Ratio Confidence Intervals for Quantiles

Stochastics Seminar
Thursday, November 20, 2008 - 15:00
1 hour (actually 50 minutes)
Skiles 269
Department of Mathematics, University of Central Florida
So far, likelihood-based interval estimate for quantiles has not been studied in literature for interval censored Case 2 data and partly interval-censored data, and in this context the use of smoothing has not been considered for any type of censored data. This article constructs smoothed weighted empirical likelihood ratio confidence intervals (WELRCI) for quantiles in a unified framework for various types of censored data, including right censored data, doubly censored data, interval censored data and partly interval-censored data. The 4th-order expansion of the weighted empirical log-likelihood ratio is derived, and the 'theoretical' coverage accuracy equation for the proposed WELRCI is established, which generally guarantees at least the 'first-order' accuracy. In particular for right censored data, we show that the coverage accuracy is at least O(n^{-1/2}), and our simulation studies show that in comparison with empirical likelihood-based methods, the smoothing used in WELRCI generally gives a shorter confidence interval with comparable coverage accuracy. For interval censored data, it is interesting to find that with an adjusted rate n^{-1/3}, the weighted empirical log-likelihood ratio has an asymptotic distribution completely different from that by the empirical likelihood approach, and the resulting WELRCI perform favorably in available comparison simulation studies.