Adjusted likelihood inference in an elliptical multivariate errors-in-variables model

DOI10.1080/03610926.2012.731126MaRDI QIDQ5177615zbMATH OpenOpenAlexWikidataFDO

Authors Tatiane F. N. Melo, Silvia L. P. Ferrari

Publication date 13 March 2015

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1108.1098

zbMATH Keywords

elliptical distributionmeasurement errormodified likelihood ratio statisticmultivariate errors-in-variables model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Linear regression; mixed models (62J05)

Abstract: In this paper we obtain an adjusted version of the likelihood ratio test for errors-in-variables multivariate linear regression models. The error terms are allowed to follow a multivariate distribution in the class of the elliptical distributions, which has the multivariate normal distribution as a special case. We derive a modified likelihood ratio statistic that follows a chi-squared distribution with a high degree of accuracy. Our results generalize those in Melo and Ferrari(Advances in Statistical Analysis, 2010, 94, 75-87) by allowing the parameter of interest to be vector-valued in the multivariate errors-in-variables model. We report a simulation study which shows that the proposed test displays superior finite sample behavior relative to the standard likelihood ratio test.

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Cited in

(1)

• scientific article; zbMATH DE number 1979608 (Why is no real title available?)

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