Title

On the likelihood ratio test for envelope models in multivariate linear regression

Authors

Authors

J. R. Schott

Comments

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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

WOS:000319428000020

ISSN

0006-3444

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