Title

On The Likelihood Ratio Test For Envelope Models In Multivariate Linear Regression

Keywords

Asymptotic null distribution; Envelope model; Likelihood ratio test; Multivariate linear regression; Partial envelope model; Saddlepoint approximation

Abstract

We investigate the likelihood ratio test for a hypothesis regarding the dimension of the Σ-envelope of span(β) 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. © 2013 Biometrika Trust.

Publication Date

6-1-2013

Publication Title

Biometrika

Volume

100

Issue

2

Number of Pages

531-537

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1093/biomet/ast002

Socpus ID

84878080234 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84878080234

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