Small-sample likelihood inference in extreme-value regression models

DOI10.1080/00949655.2012.720686MaRDI QIDQ5219283zbMATH OpenOpenAlexWikidataFDO

Authors Eliane C. Pinheiro, Silvia L. P. Ferrari

Publication date 9 March 2020

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

Full work available at URL https://arxiv.org/abs/1204.3949

zbMATH Keywords

extreme-value regressiongradient testGumbel distributionlikelihood ratio testnonlinear modelsscore testsmall-sample adjustmentsWald test

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) General nonlinear regression (62J02)

Abstract: We deal with a general class of extreme-value regression models introduced by Barreto- Souza and Vasconcellos (2011). Our goal is to derive an adjusted likelihood ratio statistic that is approximately distributed as c{hi}2 with a high degree of accuracy. Although the adjusted statistic requires more computational effort than its unadjusted counterpart, it is shown that the adjustment term has a simple compact form that can be easily implemented in standard statistical software. Further, we compare the finite sample performance of the three classical tests (likelihood ratio, Wald, and score), the gradient test that has been recently proposed by Terrell (2002), and the adjusted likelihood ratio test obtained in this paper. Our simulations favor the latter. Applications of our results are presented. Key words: Extreme-value regression; Gradient test; Gumbel distribution; Likelihood ratio test; Nonlinear models; Score test; Small-sample adjustments; Wald test.

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Cited in

(6)

• Small-sample one-sided testing in extreme value regression models
• Improved hypothesis testing in a general multivariate elliptical model
• Influence diagnostics and model validation for the generalized extreme-value nonlinear regression model
• A comparative review of generalizations of the Gumbel extreme value distribution with an application to wind speed data
• Gradient test to assess homogeneity of probabilities in discrete-time transition models with application in agricultural science data
• Enhancing the performance of the likelihood ratio test for small and moderate samples

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• Ox

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