Title
On the likelihood ratio test for envelope models in multivariate linear regression
Abbreviated Journal Title
Biometrika
Keywords
Asymptotic null distribution; Envelope model; Likelihood ratio test; Multivariate linear regression; Partial envelope model; Saddlepoint; approximation; Biology; Mathematical & Computational Biology; Statistics & Probability
Abstract
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.
Journal Title
Biometrika
Volume
100
Issue/Number
2
Publication Date
1-1-2013
Document Type
Article
Language
English
First Page
531
Last Page
537
WOS Identifier
ISSN
0006-3444
Recommended Citation
"On the likelihood ratio test for envelope models in multivariate linear regression" (2013). Faculty Bibliography 2010s. 4657.
https://stars.library.ucf.edu/facultybib2010/4657
Comments
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