Accurate Directional Inference for Vector Parameters in Linear Exponential Families

被引:10
|
作者
Davison, A. C. [1 ]
Fraser, D. A. S. [2 ]
Reid, N. [2 ]
Sartori, N. [3 ]
机构
[1] Ecole Polytech Fed Lausanne, EPFL FSB MATHAA STAT, CH-1015 Lausanne, Switzerland
[2] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada
[3] Univ Padua, Dipartimento Sci Stat, I-35121 Padua, Italy
基金
加拿大自然科学与工程研究理事会; 瑞士国家科学基金会;
关键词
Contingency table; Covariance selection; Exponential family model; Higher-order asymptotics; Likelihood ratio test; Logistic regression; APPROXIMATE CONDITIONAL INFERENCE; MAXIMUM-LIKELIHOOD; MODELS; TESTS;
D O I
10.1080/01621459.2013.839451
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider inference on a vector-valued parameter of interest in a linear exponential family, in the presence of a finite-dimensional nuisance parameter. Based on higher-order asymptotic theory for likelihood, we propose a directional test whose p-value is computed using one-dimensional integration. The work simplifies and develops earlier research on directional tests for continuous models and on higher-order inference for discrete models, and the examples include contingency tables and logistic regression. Examples and simulations illustrate the high accuracy of the method, which we compare with the usual likelihood ratio test and with an adjusted version due to Skovgaard. In high-dimensional settings, such as covariance selection, the approach works essentially perfectly, whereas its competitors can fail catastrophically.
引用
收藏
页码:302 / 314
页数:13
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