Profile likelihood ratio tests for parameter inferences in generalised single-index models

DOI10.1080/10485252.2018.1506121MaRDI QIDQ4559461zbMATH OpenOpenAlexWikidataFDO

Authors Nanxi Zhang, Alan Huang

Publication date 3 December 2018

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.05515

zbMATH Keywords

parameter inferenceregression splinesprofile likelihood ratio testgeneralized single-index models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric regression and quantile regression (62G08) Generalized linear models (logistic models) (62J12)

Abstract: A profile likelihood ratio test is proposed for inferences on the index coefficients in generalized single-index models. Key features include its simplicity in implementation, invariance against parametrization, and exhibiting substantially less bias than standard Wald-tests in finite-sample settings. Moreover, the R routine to carry out the profile likelihood ratio test is demonstrated to be over two orders of magnitude faster than the recently proposed generalized likelihood ratio test based on kernel regression. The advantages of the method are demonstrated on various simulations and a data analysis example.

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Cited in

(2)

• Statistical inference for the index parameter in single-index models
• A generalized likelihood ratio test for monitoring profile data

Describes a project that uses

Uses Software

• R
• mgcv
• gamair

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