Parametric Bootstrap Inference for Stratified Models With High-Dimensional Nuisance Specifications

DOI10.5705/SS.202021.0027MaRDI QIDQ6064413zbMATH OpenFDO

Authors Ruggero Bellio, Ioannis Kosmidis, Alessandra Salvan, N. Sartori

Publication date 9 November 2023

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.16186

zbMATH Keywords

incidental parameterslocation and scale adjustmentmodified profile likelihoodprofile score biastwo-index asymptotics

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: Inference about a scalar parameter of interest typically relies on the asymptotic normality of common likelihood pivots, such as the signed likelihood root, the score and Wald statistics. Nevertheless, the resulting inferential procedures are known to perform poorly when the dimension of the nuisance parameter is large relative to the sample size and when the information about the parameters is limited. In many such cases, the use of asymptotic normality of analytical modifications of the signed likelihood root is known to recover inferential performance. It is proved here that parametric bootstrap of standard likelihood pivots results in as accurate inferences as analytical modifications of the signed likelihood root do in stratified models with stratum specific nuisance parameters. We focus on the challenging case where the number of strata increases as fast or faster than the stratum samples size. It is also shown that this equivalence holds regardless of whether constrained or unconstrained bootstrap is used. This is in contrast to when the number of strata is fixed or increases slower than the stratum sample size, where we show that constrained bootstrap corrects inference to a higher order than unconstrained bootstrap. Simulation experiments support the theoretical findings and demonstrate the excellent performance of bootstrap in extreme scenarios.

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Cited in

(5)

• A bootstrap method for structure detection of NARMAX models
• Comments on: ``High-dimensional simultaneous inference with the bootstrap
• Comments on: ``High-dimensional simultaneous inference with the bootstrap
• Comments on: ``High-dimensional simultaneous inference with the bootstrap
• Accurate inference on a parameter of interest via parametric bootstrap in two-way crossed fixed effects models with sparse discrete data

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