Likelihood ratio tests under model misspecification in high dimensions

DOI10.1016/J.JMVA.2022.105122MaRDI QIDQ6393344arXivFDO

Authors Nina Dörnemann

Publication date 10 March 2022

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.JMVA.2022.105122

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

arXiv classification

math.STstat.TH

Abstract: We investigate the likelihood ratio test for a large block-diagonal covariance matrix with an increasing number of blocks under the null hypothesis. While so far the likelihood ratio statistic has only been studied for normal populations, we establish that its asymptotic behavior is invariant under a much larger class of distributions. This implies robustness against model misspecification, which is common in high-dimensional regimes. Demonstrating the flexibility of our approach, we additionally establish asymptotic normality of the log-likelihood ratio test for the equality of many large sample covariance matrices under model uncertainty. A simulation study emphasizes the usefulness of our findings.

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