On the likelihood ratio test for envelope models in multivariate linear regression
成果类型：
Article
署名作者：
Schott, James R.
署名单位：
State University System of Florida; University of Central Florida
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/ast002
发表日期：
2013
页码：
531537
关键词：
摘要：
We investigate the likelihood ratio test for a hypothesis regarding the dimension of the Sigma-envelope of span(beta) in a multivariate linear regression model. The asymptotic null distribution of the likelihood ratio statistic is obtained as some nuisance parameters approach infinity. A saddlepoint approximation is also given for this limiting distribution. The accuracy of this approximation and its comparison to the standard chi-squared approximation are assessed via simulation. The results can be used in a similar test for partial envelope models.
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