Bartlett correction of an independence test in a multivariate Poisson model

DOI10.1111/STAN.12265MaRDI QIDQ6068047zbMATH OpenFDO

Authors Rolf Larsson

Publication date 15 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2103.10058

zbMATH Keywords

asymptotic distributionlikelihood ratiosimulation

Mathematics Subject Classification ID

Statistics (62-XX) Parametric inference (62Fxx) Multivariate analysis (62Hxx)

Abstract: We consider a system of dependent Poisson variables, where each variable is the sum of an independent variate and a common variate. It is the common variate that creates the dependence. Within this system, a test of independence may be constructed where the null hypothesis is that the common variate is identically zero. In the present paper, we consider the maximum log likelihood ratio test. For this test, it is well-known that the asymptotic distribution of the test statistic is an equal mixture of zero and a chi square distribution with one degree of freedom. We examine a Bartlett correction of this test, in the hope that we will get better approximation of the nominal size for moderately large sample sizes. This correction is explicitly derived, and its usefulness is explored in a simulation study. For practical purposes, the correction is found to be useful in dimension two, but not in higher dimensions.

Cites work

• A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
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• Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
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Cited in

(2)

• Confidence Distributions for the Autoregressive Parameter
• Higher-order asymptotic refinements in a multivariate regression model with general parameterization

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