Modified likelihood ratio tests in heteroskedastic multivariate regression models with measurement error

DOI10.1080/00949655.2013.787691zbMATH Open1453.62570arXiv1205.5039OpenAlexW1982415000WikidataQ57496471 ScholiaQ57496471MaRDI QIDQ5219488FDOQ5219488

Authors: Tatiane F. N. Melo, Alexandre G. Patriota, Silvia L. P. Ferrari 

Publication date: 12 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Abstract: In this paper, we develop modified versions of the likelihood ratio test for multivariate heteroskedastic errors-in-variables regression models. The error terms are allowed to follow a multivariate distribution in the elliptical class of distributions, which has the normal distribution as a special case. We derive the Skovgaard adjusted likelihood ratio statistics, which follow a chi-squared distribution with a high degree of accuracy. We conduct a simulation study and show that the proposed tests display superior finite sample behavior as compared to the standard likelihood ratio test. We illustrate the usefulness of our results in applied settings using a data set from the WHO MONICA Projection cardiovascular disease.

Full work available at URL: https://arxiv.org/abs/1205.5039

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zbMATH Keywords

measurement errorelliptical distributionerrors-in-variables modelmultivariate regression modelmodified likelihood ratio statistic

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Asymptotic properties of parametric tests (62F05)

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Cited In (6)

• A modified signed likelihood ratio test in elliptical structural models
• Improved likelihood ratio tests in a measurement error model for multivariate replicated data
• Adjusted likelihood inference in an elliptical multivariate errors-in-variables model
• A heteroscedastic measurement error model based on skew and heavy-tailed distributions with known error variances
• An improved test for heteroskedasticity using adjusted modified profile likelihood inference
• Hypotheses Testing on a Multivariate Null Intercept Errors-in-Variables Model

Uses Software

• Ox

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