A conditional composite likelihood ratio test with boundary constraints

Yong Chen, Jing Huang, Yang Ning, Kung-Yee Liang and Bruce G Lindsay

Biometrika, 2018, vol. 105, issue 1, 225-232

Abstract: Summary Composite likelihood has been widely used in applications. The asymptotic distribution of the composite likelihood ratio statistic at the boundary of the parameter space is a complicated mixture of weighted $\chi^2$ distributions. In this paper we propose a conditional test with data-dependent degrees of freedom. We consider a modification of the composite likelihood which satisfies the second-order Bartlett identity. We show that the modified composite likelihood ratio statistic given the number of estimated parameters lying on the boundary converges to a simple $\chi^2$ distribution. This conditional testing procedure is validated through simulation studies.

Keywords: Boundary problem; Composite likelihood; Likelihood ratio test; Nonstandard inference (search for similar items in EconPapers)
Date: 2018
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