Three Bartlett-type corrections for score statistics in symmetric nonlinear regression models

被引：4

作者：

Cysneiros, Audrey H. M. A. ^{[2
]}

Rodrigues, Katya S. P. ^{[2
]}

Cordeiro, Gauss M. ^{[3
]}

Ferrari, Silvia L. P. ^{[1
]}

机构：

[1] Univ Sao Paulo, IME, Dept Estat, BR-05508090 Sao Paulo, Brazil

[2] Univ Fed Pernambuco, Dept Estat, BR-50740540 Recife, PE, Brazil

[3] Univ Fed Rural Pernambuco, Dept Estat & Informat, BR-50171900 Recife, PE, Brazil

来源：

STATISTICAL PAPERS | 2010年 / 51卷 / 02期

基金：

巴西圣保罗研究基金会;

关键词：

Asymptotic distribution; Bartlett-type correction; Bootstrap; Chi-squared distribution; Heavy-tailed errors; Score statistic; Symmetric model; t distribution; GENERALIZED LINEAR-MODELS; TESTS;

D O I：

10.1007/s00362-008-0158-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We present simple matrix formulae for corrected score statistics in symmetric nonlinear regression models. The corrected score statistics follow more closely a chi (2) distribution than the classical score statistic. Our simulation results indicate that the corrected score tests display smaller size distortions than the original score test. We also compare the sizes and the powers of the corrected score tests with bootstrap-based score tests.

引用

页码：273 / 284

页数：12

共 16 条

[1]

[Anonymous], 2001, OX OBJECT ORIENTED M

[2] ELLIPTICALLY SYMMETRIC DISTRIBUTIONS - A REVIEW AND BIBLIOGRAPHY [J].

CHMIELEWSKI, MA .

INTERNATIONAL STATISTICAL REVIEW, 1981, 49 (01) :67-74

[3] Corrected likelihood ratio tests in symmetric nonlinear regression models [J].

Cordeiro, GM .

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2004, 74 (08) :609-620

[4]

CORDEIRO GM, 1991, BIOMETRIKA, V78, P573

[5] Corrected maximum-likelihood estimation in a class of symmetric nonlinear regression models [J].

Cordeiro, GM ;

Ferrari, SLP ;

Uribe-Opazo, MA ;

Vasconcellos, KLP .

STATISTICS & PROBABILITY LETTERS, 2000, 46 (04) :317-328

[6] A formula to improve score test statistics [J].

Cordeiro, GM ;

Ferrari, SLP ;

Cysneiros, AHMA .

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 1998, 62 (1-2) :123-136

[7]

CORDEIRO GM, 1993, J ROY STAT SOC B MET, V55, P661

[8]

Cox D.R., 1974, THEORETICAL STAT

[9]

CRIBARINETO F, 1995, BIOMETRIKA, V82, P426

[10] On improving the X2 approximation of score tests in location-scale nonlinear models [J].

Cysneiros, AHMA ;

Cordeiro, GM .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2002, 31 (10) :1709-1732

← 1 2 →