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Modified likelihood root in high dimensions

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  • Yanbo Tang
  • Nancy Reid

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

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  • Yanbo Tang & Nancy Reid, 2020. "Modified likelihood root in high dimensions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 82(5), pages 1349-1369, December.
    • Handle: RePEc:bla:jorssb:v:82:y:2020:i:5:p:1349-1369
    DOI: 10.1111/rssb.12389
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    References listed on IDEAS

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    1. N. Sartori, 2003. "Modified profile likelihoods in models with stratum nuisance parameters," Biometrika, Biometrika Trust, vol. 90(3), pages 533-549, September.
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