Moderate deviation principle for likelihood ratio test in multivariate linear regression model

DOI10.1016/J.JMVA.2022.105139MaRDI QIDQ2111071zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 23 December 2022

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2022.105139

zbMATH Keywords

high-dimensional datalikelihood ratio testmoderate deviation principlemultivariate linear regressionregression coefficient matrix

Mathematics Subject Classification ID

Large deviations (60F10) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• scientific article; zbMATH DE number 889593 (Why is no real title available?)
• A study of two high-dimensional likelihood ratio tests under alternative hypotheses
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• Asymptotic expansions of the distributions of MANOVA test statistics when the dimension is large
• Asymptotic normality and moderate deviation principle for high-dimensional likelihood ratio statistic on block compound symmetry covariance structure
• Berry-Esseen bound for high dimensional asymptotic approximation of Wilks' lambda distribution
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Delta method in large deviations and moderate deviations for estimators
• Edgeworth expansion of Wilks' lambda statistic
• High-dimensional general linear hypothesis testing under heteroscedasticity
• High-dimensional sparse MANOVA
• Likelihood ratio test for multi-sample mixture model and its application to genetic imprinting
• Likelihood ratio test in multivariate linear regression: from low to high dimension
• Likelihood ratio tests for high-dimensional normal distributions
• Limiting distributions of likelihood ratio test for independence of components for high-dimensional normal vectors
• Moderate and Cramér-type large deviation theorems for M-estimators
• Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions
• Multivariate analysis of variance with fewer observations than the dimension
• On testing the equality of high dimensional mean vectors with unequal covariance matrices
• On the distribution of the largest eigenvalue in principal components analysis
• Testing linear hypotheses in high-dimensional regressions

Cited in

(3)

• The moderate deviation principles of likelihood ratio tests under alternative hypothesis
• Likelihood ratio test in multivariate linear regression: from low to high dimension
• Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions

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