Saddlepoint approximations for likelihood ratio like statistics with applications to permutation tests
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Abstract: We obtain two theorems extending the use of a saddlepoint approximation to multiparameter problems for likelihood ratio-like statistics which allow their use in permutation and rank tests and could be used in bootstrap approximations. In the first, we show that in some cases when no density exists, the integral of the formal saddlepoint density over the set corresponding to large values of the likelihood ratio-like statistic approximates the true probability with relative error of order . In the second, we give multivariate generalizations of the Lugannani--Rice and Barndorff-Nielsen or formulas for the approximations. These theorems are applied to obtain permutation tests based on the likelihood ratio-like statistics for the sample and the multivariate two-sample cases. Numerical examples are given to illustrate the high degree of accuracy, and these statistics are compared to the classical statistics in both cases.
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Cites work
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Cited in
(17)- A Conditional Saddlepoint Approximation for Testing Problems
- Saddlepoint approximation for two sample linear rank tests
- Saddlepoint approximations for rank‐invariant permutation tests and confidence intervals with interval‐censoring
- Saddlepoint \(p\)-values for group of linear rank tests
- A new permutation test statistic for complete block designs
- A new permutation test statistic for K‐sample multivariate designs
- On the use of saddlepoint approximations in high dimensional inference
- Modified saddlepoint density estimates
- Saddlepoint method for obtaining tail probability of Wilk's likelihood ratio test
- Saddlepoint approximations for the probability mass functions of some nonparametric test statistics
- Testing for independence: saddlepoint approximation to associated permutation distributions
- Nonparametric tests for multi-parameter \(M\)-estimators
- General Saddlepoint Approximation for Testing Separate Location-Scale Families of Hypotheses
- Multivariate tests based on empirical saddlepoint approximations
- Relative error accurate statistic based on nonparametric likelihood
- A Proof of the Asymptotic Equivalence of Two-Tail Probability Approximations
- A likelihood ratio like permutation test for one way designs
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