Wald tests of singular hypotheses

DOI10.3150/14-BEJ620zbMATH Open1388.62164arXiv1304.6746OpenAlexW3104080258WikidataQ57566368 ScholiaQ57566368MaRDI QIDQ5963494FDOQ5963494

Authors: Mathias Drton, Han Xiao 

Publication date: 22 February 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Motivated by the problem of testing tetrad constraints in factor analysis, we study the large-sample distribution of Wald statistics at parameter points at which the gradient of the tested constraint vanishes. When based on an asymptotically normal estimator, the Wald statistic converges to a rational function of a normal random vector. The rational function is determined by a homogeneous polynomial and a covariance matrix. For quadratic forms and bivariate monomials of arbitrary degree, we show unexpected relationships to chi-square distributions that explain conservative behavior of certain Wald tests. For general monomials, we offer a conjecture according to which the reciprocal of a certain quadratic form in the reciprocals of dependent normal random variables is chi-square distributed.

Full work available at URL: https://arxiv.org/abs/1304.6746

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zbMATH Keywords

factor analysisasymptotic distributionWald statistictetradlarge-sample theorysingular parameter point

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15)

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Cited In (10)

• Eigenvalues of Random Matrices with Isotropic Gaussian Noise and the Design of Diffusion Tensor Imaging Experiments
• Cauchy Combination Test: A Powerful Test With Analytic p-Value Calculation Under Arbitrary Dependency Structures
• Title not available (Why is that?)
• The Exact Distribution of the Wald Statistic
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• Understanding Wald's Test for Exponential Families
• Cauchy, normal and correlations versus heavy tails
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• Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling
• Robust inference for mediated effects in partially linear models

Uses Software

• TETRAD

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