Modified likelihood root in high dimensions

Yanbo Tang and Nancy Reid

Journal of the Royal Statistical Society Series B, 2020, vol. 82, issue 5, 1349-1369

Abstract: We examine a higher order approximation to the significance function with increasing numbers of nuisance parameters, based on the normal approximation to an adjusted log‐likelihood root. We show that the rate of the correction for nuisance parameters is larger than the correction for non‐normality, when the parameter dimension p is O(nα) for α

Date: 2020
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https://doi.org/10.1111/rssb.12389

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssb:v:82:y:2020:i:5:p:1349-1369

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